On fresh dietpi install and before first boot i opened dietpi.txt and edited few lines.
For swap file i entered
AUTO_SETUP_SWAPFILE_SIZE=1
and
AUTO_SETUP_SWAPFILE_LOCATION=zram
When i go to dietpi_config/Advanced Options
I get this result

Is this correct output for zram configuration?
Also, where exactly zram keep swapfile? If i understand correctly swap file is located on ram memory and not on sd card or external hdd?
Many thanks for your report. I'll try to replicate.
The zram implementation does not create a swap "file" but uses the zram block device itself as swap space, similar to a swap partition. Indeed the dietpi-config output doesn't look like it worked correctly but default /var/swap file was used.
Easiest command to check which swap spaces are really used: swapon (without arguments)
root@DietPi:~# swapon
NAME TYPE SIZE USED PRIO
/var/swap file 1G 0B -2
how can i change to zram method?
you can try following /boot/dietpi/func/dietpi-set_swapfile 1 zram
Thank you. success!
root@DietPi:~# swapon
NAME TYPE SIZE USED PRIO
/dev/zram0 partition 487M 0B -2
in dietpi-drive_manager i get these two new drives, this is normal behavior after enabling zram?

There was indeed a bug in the logic of the script that dropped zram/zram0 dietpi.txt entries. Actually this was to prevent the attempt of removing the /dev/zram0 block device as if it was an ordinary file, but the dietpi.txt entry was not used at all then, hence was reset to default during first boot setup.
Fixed with: https://github.com/MichaIng/DietPi/commit/8eb0973a7dd8f3c6a7e58b8624a8509eea37fcf2
Changelog: https://github.com/MichaIng/DietPi/commit/c2a699612530c727aac3565e8c29b40b2152271b