Command not found: /usr/local/bin/zsh

Homebrew installs programs under /usr/local on intel but under /opt/homebrew on arm. So once you've installed Homebrew's zsh, it will be at /opt/homebrew/bin/zsh. The zsh that ships with macOS is at /bin/zsh.

If you've hard-coded the path /usr/local/bin/zsh somewhere, you can use one of the following commands to make that exist:

sudo ln -s /bin/zsh /usr/local/bin
sudo ln -s /opt/homebrew/bin/zsh /usr/local/bin

Your attempt with ln didn't work because you passed the arguments to ln in the wrong order, and also because the preinstalled zsh is in /bin and not /usr/bin.

If you want to change your login shell, you can use the following command:

chsh -s /bin/zsh

Or chsh -s /opt/homebrew/bin/zsh to change to Homebrew's zsh.

Modern macOS comes with a recent version of zsh, so there's no advantage to using the one from Homebrew. It's not like bash where macOS ships only an ancient version.