Use different groups for texMathZones to make it possible to distinguish them. See also #2397.
Here are currently supported cases (see :help vimtex-syntax-reference, table 3):
GROUP DEFAULT EXAMPLE
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texMathZone Special \( HERE \); \[ HERE \]
texMathZoneX texMathZone $ HERE $
texMathZoneXX texMathZone $$ HERE $$
Notice that we can't distinguish \( Inline Math \) and \[ Display Math \] through, since they are both texMathZone.