@lzr I don't have a PI Zero, and Google gives up little information.
I suppose that there is no reason to expect "great" quality, but it could be sufficient. External cards are pretty cheap though. The main reason to use external cards is to reduce latency. There might be other benefits..... impedance matching..... reduced noise..... better dithering.... immunity to ground loops......etc.
If you are only going to send to devices with digital audio inputs then it will be pointless buying a card, and digital is no longer "the future"..... it is "now". Dac to Adc can only be a bad idea.
Ignore what is to follow if I should be listening to the high pitch very low background sound. I cannot hear anything at 440Hz so I assume it is the loudest sound on the recording that is coming from PD.
If it is the loud sound that is your "sine" then it is no longer a sine..... it has either been "squared off" by overloading the dac in the TV (unlikely as your patch has reduced the volume to 0.05) or you have a sample-rate mismatch.
Video devices (like your TV) almost always clock audio at 48000Hz (as it is the standard for professional film and video cameras) and as your RPI is sending digital audio directly to that DAC you should set Pd to run (PD......"audio settings") at 48000.