You're not the only one.

I think Zarra presented herself as a 'tough cookie' but having Bay prove herself may just turn out to be a case of where Zarra has trust issues herself. We don't know much about her background at this point.

I already gave my more complete and fuller review on this budding friendship in the episode discussion thread and why I feel Bay felt the need to prove herself to Zarra but I don't think that can be blamed on Zarra, those are 'Bay issues.' To sum it up again, basically, I think Bay is experiencing a self-identity crisis; thus, her front at being a 'Vasquez' and not admitting and being upfront about her Kennish background. Her art is a major part of her identity right now, the one constant thing that hasn't been uprooted in her life, something she also feels that her family will never understand and Zarra is someone who potentially can do just that.

For now, I'm willing to give this a chance unless something major happens to change my mind.