A capacitor in parallel with zener U1 will slow the rate
of establishing the reference voltage. However, this
schematic looks wrong to me (expecting a closed loop
linear supply, this has no closed loop feedback from
the (-) node). Even in a closed loop supply, controlling
the reference does not necessarily result in a clean,
start-from-zero ramp. The error amp needs to work
clean with inputs near the + rail (not the forte of
LM741) and preferably the error amp will have excess
(or at least adequate) headroom before the soft start
cycle gets very far at all.
I think the schematic is missing something.