I connected ZCEN to Vcc. I don't hear clicks while changing volume. Sound of PGA2311 is so much clean and I like it.
So I wanted to run more tests. I downloaded a function generator and generated 1000Hz. Clicks were audible. This was for testing only to see the artifacts people talking about in the PGA231x chip.
ATmega16 is running at 8MHz, PGA2310 is so fast reading the data I send, this is really a good thing. To be honest, in both, music and 1000Hz cases, it was better to remove any delays in the code while sending data to the PGA2310 chip. I tried to mute-change-unmute sequence and it made it worse while testing on 1000Hz sine wave.