Thanks Sean!  I was able to trouble shoot and came up with the below code that does add my ZM1 segment.

Method OnRequest(pRequest As EnsLib.HL7.Message, Output pResponse As Ens.Response) As %Status
{
#dim newrequest = pRequest.%ConstructClone()
#dim eException As %Exception.AbstractException
#dim tSC       As %Status =$$$OK

   SET FedExID = "123456"
    
    SET segcount = newrequest.SegCountGet()
    $$$LOGINFO("segcount "_segcount)
    
    SET newsegpos = segcount +1
    $$$LOGINFO("newsegpos "_newsegpos)
    
    SET zm1str = "ZM1|1|||||||||||||||||||" _FedExID
    #;SET zm1str = "ZM1|1|||||||||||||||||||" _FedExID _"|"
    
    SET zm1 = ##class(EnsLib.HL7.Segment).ImportFromString(zm1str,.sc,pRequest.Separators)
    $$$QuitOnError(sc)
    
SET newseg = newrequest.SetSegmentAt(zm1,newsegpos)
$$$QuitOnError(newseg)

SET pRequest = newrequest
#;SET tSC = ..SendRequestSync("HL7FileOperation", newrequest)
SET tSC = ..SendRequestSync(..TargetConfigName, newrequest)
#;return newrequest Quit tSC
}

Found the issue. had to parse differently