It's a simple check and I don't think you're missing anything.
If ZAP is looking at
space1.mysite.com/blef.html which loads
space2.mysite.com/some.js then it'll complain. ZAP has no way of know if both are owned by you.
Perhaps this could be expanded upon to include consideration for contexts, so that if your context (assuming you have one defined) included both
space1.mysite.com and
space2.mysite.com then it wouldn't alert. However, simply looking at the domain names isn't sufficient because then you encounter the issue of
z.y.x.co.uk, etc (i.e.: how/when do you decide that the base domain is related/controlled.)
If you trust that the included JS is within the control of your organization (perhaps team/devs depending how trusting you are or aren't) then you can manually set them as False Positives (or disable that passive rule).