Step 1: Recall the characteristics of a Zener diode.
A Zener diode is
\[
\boxed{\text{heavily doped}.}
\]
Because of heavy doping,
\[
\boxed{\text{its depletion layer is very thin}.}
\]
Step 2: State the other properties.
Due to the thin depletion region,
\[
\boxed{\text{the electric field across the junction is very high}.}
\]
Also, a Zener diode is normally operated in
\[
\boxed{\text{reverse bias}.}
\]
Step 3: Identify the incorrect statement.
The statement
\[
\boxed{\text{``The depletion region formed in it is very thick''}}
\]
is incorrect.
Hence, the correct option is \(\boxed{(B)}\).