I have experimented with Zr(BH4)4, and it works great without a nitrogen atmosphere. You need to protect the reactants and reaction mixture from atmospheric moisture though, as both ZrCl4 and Zr(BH4)4 decomposes in the presence of water.
Also, watch out when you prepare the ZrCl4 solution in THF, as the dissolution is exothermic, and some THF may splatter if you only add a few milliliters at first, so preferably chill the THF in an ice-bath before adding it to the Zr(BH4)4 and add at least half of the intended amount of solvent in one go. The addition of NaBH4 is also exothermic, and creates foam, so do that too slowly, use good magnetic stirring, and choose a reaction flask large enough as to not get more than 1/3 full with all the initial THF added.