THere is no need. UART is the software protocal (how the 0s and 1s are arranged, transmitted, received and interpreted).
RS-232 is a version of UART that has hardware specifications in it (like voltages). THe PC uses RS-232 (UART with RS-232 voltages), so you need a MAX232 to produce convert the UART signal from the PIC or Zigbee the correct voltages if you want them to talk to the PC.
But PIC and Zigbee alone don't use RS-232...just UART. So you can connect them directly.
DOes that make sense? Zigbee is 3.3V and the PIC might be 3.3V or 5V. So you might need to convert the voltages do take care of that. But I think they match up enough anyways so you don't have to.