Coinbase Mobile Wallet has custom features that do not allow a traditional use of the wallet address to import transactions. Additionally, Coinbase and GDAX do not automatically show the movements to and from the mobile wallet in their APIs, so you will have to do a little extra work!
There are two ways to import Coinbase Wallet to ZenLedger:
You can wait until everything else is imported, find the transactions out to the wallet from Coinbase and GDAX/Coinbase Pro, and make manual self-transfers from each one. This would be easiest if you only have a handful of coins that have been transferred to the wallet.
You can create a custom CSV for the transfers into and out of the wallet. Here's how to do that: