I noticed that after ejecting a Zip cartridge from my Macintosh, a few document icons also disappeared from my desktop. Why is that?

This is normal behavior for the Macintosh Operating System. In this example, the documents that disappeared when you ejected the Zip disk are stored on the Zip disk itself, not on hard drive. When you ejected the disk, the icons went with it. They remain on the Zip disk and will reappear on the desktop when you re-insert the Zip disk.

This will hold true for any storage media, be it a floppy disk, CD-ROM, or hard drive.

If you wish to work with that document without the Zip disk inserted, copy the document to your computer's hard drive.