I have the same issue with my own zucchini, however, they naturally turn a shade of "dusty" white upon maturity - totally normal. Powdery mildew looks about the same shade of white as the natural leaf coloring, but looks much more like mildew, or mold, growing as patches or spots on the leaves. Think of mold growing in the grout of bathroom tile... that's how powdery mildew would look in shape, possibly a bit larger in size, though (dime to nickel sized, until fully engulfed prior to the leaf wilting and eventually dying).
As a precaution, you can always spray with the 10/1 water and milk mixture and prevent the mildew from forming, especially if you live in a cooler, more northern climate. Doing so won't harm the plant and may give you a little peace of mind. I live in central Florida, and because of the warm and mild climate, there is less of a chance of the fungus forming here, but, I too occasionally spray my plants (zucchini, squash and watermelon) just to be on the safe side. With our "come and go" flash rain storms in late spring through summer, the chances get a bit higher because of the rapid warming of the foliage after a shower which can lead to a fungal infection.
I hope this helps and I wish you good luck and a bountiful harvest!