Yes exactly, you can only mint to and release from a transparent at the moment, but as far as I am aware the intention from the team is to get shielded address support for minting and releasing. In the mean time, if one were to mint renZEC and is concerned about transaction trails, one could make use of an on-chain trustless Ethereum mixer like Tornado Cash, which hopefully adds ren-wrapped tokens soon including renZEC. Aztec protocol has also been building a lot of tools for privacy wrappers for Ethereum tokens (there already is zkDAI out I think), which could be used to wrap renZEC so you’d get zero-knowledge wrapped ZEC tokens on Ethereum.
Another interesting point is that because RenVM acts as an “off-chain” decentralized custodian of assets on whatever chain is supported, minting and burning can be done on other smart-contract capable chains as well (when that functionality is built out), meaning we can get ZEC on Cosmos and Polkadot as well. And it would be possible to go from Ethereum-renZEC to Cosmos-renZEC in just one transaction, because you don’t need to transfer the ZEC held by RenVM, you only need to burn on one chain and mint on the other.