When I removed the file Interop.Shell32.dll from the project, removed it from the reference and added it back, the designer reported that the class couldn't be embedded. When I searched on that, I found that under .NET Framework 4.0, we cannot use a Class reference when we define the object but the name of the interface. So, only interface types can be embedded.

So, I adjust the code to this for the declaration of loShell:

        ' Zip a file
        Public Function Zip() As Boolean
            Dim lcFile As String = ""
            Dim llSuccess As Boolean = False
            Dim lnReturn As Double = 0
            Dim loByte(21) As Byte
            Dim loObject As Object
            Dim loDestinationFolder As Shell32.Folder
            Dim loFile As Shell32.FolderItem
            Dim loProcess As Framework.ProcessFile = New Framework.ProcessFile(oApp)
            Dim loShell As Shell32.Shell = New Shell32.Shell
            Dim loSourceFolder As Shell32.Folder

The loShell line before was:

            Dim loShellClass As Shell32.ShellClass = New Shell32.ShellClass

This has resolved the issue.