... if I set-up the Pro stick Plus with the Zadig drivers will the dongle still work with the Raspberry Pi when it arrives?
Dont worry. The ProStickPlus will work perfectly well when shifted from Windows computer to RPi and vice versa.
What is actually setup is the software on Windows computer and on RPi.
Nothing is setup in the dongle itself.
The dongle remains unchanged weather you use it with Windows Computer or RPi/Linux.
I sometimes plug my ProStickPlus in RPi, and sometimes remove it from RPi and plug it into Windows Desktop, and another time into Laptop running Linux (Ubuntu amd64 or Raspbian x86). ProStickPlus works perfectly well in all these devices.
Note: This photo was taken during an experiment with attenuators.
I dont normally use attenuaters.