It is probable that DJI used the wrong term, "NFZ", when they meant a place they don't think you should fly. I bet it was what what they are saying above, the RC lost connection with your bird so RTH was activated.
This last weekend, I didn't want to bother people, and I didn't want to be bothered by those same people who were stopped on the side of a road to view a historic bridge while I was flying my drone. I setup around the other side of a hill which gave me poor connection while I flew close to and over the bridge. That in itself is bad, but what was worse is that there were electric lines high above the bridge, so if I did lose connection, there was possibility my bird would have flown into the lines. I could have dealt with inputting a proper RTH height, but it was hard to judge due to tall trees and steep hill sides.