High-heeled shoes are best for her. Boots, whether thigh-high or knee-length, don't give you the professional look you expect from a stage magician. She should always look like she came straight from the stage
You'd also want Zatanna to look different from Black Canary because, below the belt, they look quite similar.
Boots make sense for Black Canary, as she's more of a physical combatant than Zatanna. BC has to kick with shoes that look sturdy, so boots are appropriate for her.