When all radiators are equipped with thermostatic valves, you need a bypass for safe operation of the multi zone system. A bypass is an extra piece in your pipes, which allows for a continuous flow of water in the pipes. The boiler has to lose its heat if there is a demand for heat while all radiators are closed. (e.g. in the summer if you use warm water). With the bypass, there is an open flow possible, causing the water to lose its heat and therefore its pressure.
If you do not install a bypass, pressure can build up in your pipes, causing your boiler to malfunction and in the worst case break down completely. You can also choose to leave 1 radiator without a thermostatic valve and knob and to have this always open. The radiator then acts as a bypass. Keep in mind that this radiator always turns on with every heat demand there is.