that has nothing to do with loading 1, 10, 100 or 1 million objects.
That's just a problem trying to upcast and Effect into something that is not (a BasicEffect), just as the error message is complaining about.
The rest of the thread doesn't make a lot of sense either... unless you want to draw 1 million zombies in the same pose, you'll need to draw them separately.
Having the animation data shared for all the zombies or one for every zombie is a memory problem.. are you having problems with memory? If you have, I bet there are MANY other places eating up your memory.. but seriously, considering the fact that you can't understand a simple error message like that means you don't have problems with memory solvable by sharing animation data.. so my suggestion is.. keep coding and forget about all this.