When we make contours from a data model, the 0 meter curve is not generated at coast.
For example, if we make 0 meter curves only, the possible islands appear inside terrain, but the coast line is not generated (I attach an example with this behaviour).
The contour generation will only generate a contour when the terrain transitions from a higher elevation through a contour interval to a lower elevation. Since your terrain never goes below 0, there is not a 0 contour generated. What you can do is adjust all of your elevation values by some small number (say -0.001) downward so that transition exists, then you'll get your 0 contours. To do so, simply select the grid layer in the Control Center, press Options, then go to the Adjust Elevations tab and provide an offset of -0.001. Then you can generate your contours and get what you are after.