I have a machine very similar to yours. Mine is: Model No. UHT J1939 - mine is a "convertible bed" machine - which means that you could fold down the bed on it and then sew something like a sleeve on a shirt. Mine came with a box of 11 PLASTIC cams - black with white and red markings on them. Mine look identical to yours. But, I also have a black METAL cam that says ZIG ZAG on it. It just stays inside the little door on the top. In order to use the zig zag, you have to engage a lever inside the little door - press it down, I think. On page 24 of my book it tells you how to "zigzag sewing" - and says "inserting zigzag cam for zigzag stitching. I do not know if my machine came with the cam inserted in the proper place inside the little door on top, or if it was in the separate plastic box with the rest of the cams.
I love my machine. If you have any questions, please ask away.