A lot of zombie movies and games feature the zombies fear of fire. The flames seem to speak to their most basic instincts which after all, are all that’s left to them.
Whether they are scared or not zombies on fire pose a heightened though short lived danger to those around them. They may set off secondary fires or cause your farm house or strong hold to go up in flames.
It also makes getting close to them virtually impossible. Personally I recommend keeping your distance from all zombies at all times but if all you’ve got is a bat or a club you’re going to need to be within a certain range that the flames make nearly impossible to get around.