Packing those files together is of course the better solution for most cases. Not the least, because you have a 1/2 minimum cluser size waste per file or more, if you have very small files. So a 100 byte file would require 4kb plus the fat entry.
But here is the thing, the web games I play are transferred in one go. There would not be 65000 requests to the server. There would be one for the archive. Unless you have the variety of web game, that indeed transfers each file individually, but if so, it would be very bad practise to request all files, instead of only the files you need.
So in theory you would have assets for level 2 and while playing level 1, those assets would not be needed and not be requested yet.
But I do not see this happening on web games hosted on Itch. There is one big loading bar. Of course, if this loading bar actually transfers all the files inside the zip individually, that would be the worst of both concepts.
Of course, if this is the issue, then the explanation would be performance and server load, and not user side quality experience.