Yes, you can multiply any vector by 0 and get the 0 vector. That's why the 0 vector must be in any subspace.
You are given that H is the set of all vectors of the form [3a+ b, 4, a- 5b]. Since a and b are any scalars, there is a solution to 3a+ b= x and a- 5b= y for all x, y. In other words, we can write any vector in H in the form [x, 4, y]. IF H were a subspace, then 0[x, 4, y]= [0, 0, 0] would be in H. But that is NOT of the form [x, 4, y] so is NOT in H. That is why H is not a subspace.
(Although showing that the 0 vector is not in H is simplest, one can also show that the other requirements for a subspace are not true for H. Your point that "0 times any vector is the 0 vector" shows that H is NOT "closed under scalar multiplication". 0 times a vector in H is the 0 vector which is NOT in H.
Also we can write any two vectors in H as [x, 4, y] and [x', 4, y'] for any scalars x, y, x', and y'. The sum of those two vectors is [x+ x', 8, y+ y']. That is NOT of the form [x, 4, y] because the middle component is not 4. Therefore H is not closed under addition so is not a subspace.)