Raw support for each model (not brand, model) of camera has to be added individually. At time of writing Raw support has not been added for the Z8. In truth, adding raw support does not seem to be a priority at Apple for some time now. Alternatives: convert the NEFs to DNG with Adobe's free converter or use one of the 3rd party apps that have their own raw support independent of Apple's - Adobe's Lightroom for instance, CaptureOne, DxO Photolab, NX Studio... but there are others.
Apple will probably add Raw support eventually, but it may be limited to uncompressed raws and it will only apply to current and subsequent versions of the OS. Older versions will not get that.
Richard: as the raw support is added on a camera model basis the fact that your NEFs from the Z5 work is not especially relevant. Also, Photos does work directly with NEFs. Import an NEF and process it - it's the NEF being processed, not the Jpeg. What does happen is when you import the NEF the app creates a jpeg preview, based on the thumbnail contained in the NEF.
There is an interesting discussion to be had about the efficacy of spending $4k on a camera, plus how much more on glass, and then trying to process the output with a freebie app. I do wonder if folks would not just be better shooting Jpeg is those circumstances.