People say that you should connect the PSU to the mains and connect the wrist strap to a not painted part of the case, but on the Z11 Plus everything is painted black and also if I need to plug the PSU to the mains does that mean that I need to install the PSU first?
To be 100% static free, you should use a wrist strap, yes. But most folks get by with simply touching the bare metal occasionally while they work. Generally it is best to install the PSU in the case first when assembling the PC, so you don't accidentally drop the heavy thing on something delicate... like the MB. Then plug it in to a grounded outlet and leave the PSU power switch turned off. That way there is a low resistance path to earth for static to discharge via the ground/earth wire.
Usually just touching the painted surface is enough to discharge any static buildup. Sometimes the PSU mounting screws will be bare and can be used to touch. Socks and carpet are a notorious combination for causing ESD buildup. Best to wear shoes or slippers with soles if you are on carpet. If you really want to be safe when it comes to ESD (and not wear a wrist strap), temporarily run a 6-32 screw into one of the expansion slot cover's threaded holes and touch it occasionally.
The slippers will be better than socks. If you use the wrist strap, clamp it to one of the PSU screws, even if you have to back it out a bit. I doubt the wrist strap would do any good if not metal to metal. But you may not even need to wear one if you are cautious about handling the electronic parts and touching the case occasionally.
Ok, so I will have socks with rubber slippers on and I will stand on a carpet. I will install the PSU, then I will plug the PSU into the mains and leave it switched off. I will touch a metal painted part of the case every few minutes. Sound good?
Yes. But you are worrying too much. Overly cautious. Do your build and enjoy. I've been assembling several builds a year for several years with no wrist strap and only occasional thought about ESD. No issues yet.