When a problem occurs, z/Server creates a dump in DD statement ZCOMDUMP. When z/Server relies on LE recovery, then LE might write a CEEDUMP. In severe cases an SVC dump is written.
The command
F <scheduler|userserver>,RECOVERY,{ON|OFF}
can be used to turn of LE error handling. If there is a SYSUDUMP/SYSABEND/SYSMDUMP DD statement in the JCL, such a dump would get written instead of a CEEDUMP.