Some older versions of Zoom, specifically versions 5.0, 5.0.1, 5.0.2, and 5.0.3, did not load virtual cameras.
Ensure that you have the latest version of Zoom by picking Check for Updates from the zoom.us menu up at the top of the screen beside the menu. If virtual camera is still not showing in Zoom, click here to update directly from Zoom site and reboot.