Can someone explain to me why for a non-existent zip I still get shipping methods. Let's say I choose US, Florida and 32005. Using a service I get that zip code is not found but in Magento I can get an estimation shipping cost. Is it wrong to just tell that zip is wrong or should I leave it like it is now?
Not all shipping methods validate the address when fetching rate quotes. For example, FedEx has an Address Validation Service (AVS) which is separate from the Rate Service. AVS catches the invalid addresses, but the Rate Service does not.
If you want to ensure the address and ZIP code are valid, you can run the address through AVS first.