My attempt:
If $z^{5040} - z^{720}$ is real, that means that their imaginary parts are equal.
$e^{5040i\theta} - e^{720i\theta} = k$ , where $k$ is a real number
$\sin{5040\theta} = \sin{720\theta} $
Let $u=720\theta$
$\sin 7u = \sin u$
By graphing $y=\sin 7u$ and $y=\sin u$, there are $16$ intersections between $0$ and $2\pi$ (including $0$ but not including $2\pi$)
Because the substitution $u=720\theta$ scaled the functions by a factor of $720$ parallel to the x-axis,
there are $11520$ intersections for $\sin{5040\theta} = \sin{720\theta}$ from $\theta=0$ to $\theta= 2\pi$ (not including $2\pi$ because $0+2k\pi=2\pi$ when $k=1$.
Is $11520$ complex numbers correct? There was no answer provided.
Note that $\sin(u)=\sin(7u)$ has only $14$ solutions on $[0,2 \pi)$. But here is a slightly different approach following the same lines.
Let’s ask the same question for $z^7-z$ first. If $\lvert z\rvert = 1$ then $\overline{z} = z^{-1}$. So then $ z^7-z$ is real if and only if $$z^7-z=z^{-7}-z^{-1}$$ or equivalently $$z^{14}-z^8+z^6-1=(z^8+1)(z^6-1)=0.$$ This equation has $14$ solutions on the unit circle. Now the substitution $z\leftarrow z^{720}$ increases this amount by a factor of $720$ (since the mapping is $720$ to one). So $720\cdot 14 = 10080$ possible values for $z$.