Both Zabbix agents distributed by archive come with conf folder and conf file.

Zabbix agent with zabbix_agentd.conf and agent2 with zabbix_agent2.conf.
This is not corresponds to https://www.zabbix.com/documentation/current/manual/concepts/agent2 (be a drop-in replacement for Zabbix agent (in that it supports all the previous functionality)).

And even more - if start agents with no keys they try to find configuration file in different way.
Agent2 try to find zabbix_agent2.win.conf (not the file that included in archive) in the folder where the executable file is located:

c:\zabbix>zabbix_agent2.exe
zabbix_agent2 [4260]: ERROR: cannot open configuration file: open c:\zabbix\zabbix_agent2.win.conf: The system cannot find the file specified.

Agent try to find config file in hardcoded place:

c:\zabbix>zabbix_agentd.exe
zabbix_agentd.exe [21424]: cannot open config file "C:\zabbix_agentd.conf": [2] No such file or directory