When reading wiki zero morphisms it seems that the category of sets does not have zero morphisms. Also, I could not find how the composition with the empty map works in the Set. Can someone explain that?
Edit: there is a confusion about what 'does have zero morphisms' mean. Here I actually mean: 'category with zero morphisms'.
Some categories have initial and final object isomorphic (call it $0/1.$) Then for any objects $X,Y,$ you have a unique $o_{XY}:X\to 0/1\to Y$ which you can show is a zero-morphism and it satisfies the requirement to be a category "with zero morphisms."
This class contains the typical examples of categories with zero morphisms:
In Sets, if $X\neq\emptyset$ and $Y=\emptyset,$ there is no map $X\to Y,$ so there are not enough maps for Sets to be a "category with zero morphisms."
I think you can show that any map in Smooth manifolds fails to qualify as a zero-morphism. Basically, if $h:M_1\to M_2$ with $M_1$ non-empty, then we can choose some pair $f,g:M_2\to M_3$ so that $f,g$ are not equal on the image of $h$ in $M_2.$
For example, if the category includes disconnected manifolds, we can take $M_3=M_2\sqcup M_2$ and $f,g$ the two natural maps $M_2\to M_2\sqcup M_2.$ It might be a little harder if the category consisted only of connected manifolds.