What are your goals? How much other riding do you do outside of the spin class, and at what intensities? When you say "virtually no base mileage" do you mean this season, or ever?
If you are on a periodized training schedule and looking to build a big base before doing structured high-intensity work I would probably skip the Z4 spin class for now. However, if you're JRA and trying to gain general fitness I think that any exercise you do is better than nothing at all, and if the spin class keeps you motivated I wouldn't sweat the zones and training periods too much. That said, listen to your body, and if you're hurting/crazy fatigued, back it off.