The Reason Zenos.

[Nezerius]

Well, I guess I would have to ask what makes a villain imposing and menacing? I have to ask because you said he "shoots" a couple of defenseless subordinates. It's made pretty clear what kind of weapon Zenos prefers to use. While I suppose that could be an honest mistake, it deflates your argument a good deal as it shows you don't understand the character as much you portray. This also goes into why Zenos cuts down his subordinates in the first place. It isn't to show how bad, evil, or menacing he is. The display is used to exhibit he has no love for the empire. It is foreshadowing the events that ultimately lead to him committing patricide.

While this seems more about semantics between shooting and cutting, I'd be surprised if Zenos hasn't shot a few subordinates with the gunblade that he used, prior to finding out his love for the katana. As for the display, it's more that he simply doesn't care about anything other than "The Hunt", so anything that doesn't involve that single interest of his gets pushed aside/shot/cut down.

Actually, prior to Zenos decimating the Reach, the resistance was planning a full scale assault on Castellum Velodyna. As an enemy stronghold at the time, it would have been a crushing blow to the empire and their hold over Ala Mhigo. Zenos' preemptive attack turned that scheme right back on the resistance; reinforcing their influence over Gyr Abania. Y'stola might have lived, but so many others died that day. Even though most are not of any significance and off-screen, what matters is their efforts and plans to get a firm hold on Gyr Abania was thwarted, and effortlessly. It is established early on that Zenos is some serious muscle the empire wields.

An event that would have had some impact on the player if it didn't happen before even hitting lvl 62, if that part of the story hadn't been rushed. The story went from entering Gyr Abania to shipping off to Kugane at such a high pace that it was hard to really be invested in the characters that were killed in the attack on Rhalgr's Reach, or the entire effort and planning they had been doing on attacking Castellum Velodyna.
The only two things that came to mind after that event were 1. "So this is the intro of the bad guy that I'll have to level up to beat", and 2. "Oh no, is Y'shtola dead? Nevermind, she's only injured".
Does it show that Zenos is strong? Sure, but he also uses plot armor to make that happen.

They didn't expose themselves. Zenos did, and they decided to take that opportunity to try and assassinate him, which failed. Even though the objective was huge, the overall risk was low because they were not mounting a full scale attack on Zenos where who knows how many could die. It was just a small group of peeps trying to seize a perfect opportunity to take down the Crown Prince, and with him out of the way, the Empire loses a large part of their arsenal. Ultimately, Zenos leaves the east to Yotsuyu, which is her duty anyway. The empire sees the Xaela of the Steppe as a very small threat. What are they going to do against a fleet of airships?

Maybe I'm just remembering that part of the MSQ differently, but it felt more like Yugiri being reckless, running off, and throwing any plans out of the window by abruptly attacking Zenos, because she apparently couldn't listen to the WoL telling them that he's pretty strong. Again plot armor for him to get through the fight against the WoL (who has to step in after Yugiri's actions), but you've already covered this in the next part of your post.

Also the Garleans stationed in Yanxia didn't have any airships (outside of maybe some transportation airships?). If they had, I'd be surprised if Grynewaht hadn't brought those along.

I still don't think these plot armor fights make Zenos all that interesting, since it felt more like the game telling me that I'm not high enough level to take him on. They had the opportunity to give him some character progression with the whole soul-jumping journey to Garlemald, but they completely wasted that opportunity. With that in mind, I'd rather they just kill him off in 5.3 and move on to something new.