We've had at least three instances to date of important plot characters doing deliberate, planned heroic sacrifices. You go on; I'll stay behind. They're nice and poetic and beautiful, but not particularly upsetting. I never felt particularly strong urges for vengeance against Bahamut, Shinryu, or Garlean Airship #57. But maybe I've also just seen this play out too many times in fiction.

What I do tend to find frustrating and regret-inducing is when a character dies a meaningless death that an ideal hero coulda shoulda woulda at least theoretically prevented had they the foresight or planning to do so. In terms of other games in the franchise, there are two very well known cases where the writers very deliberately wind you up with 'oh, great, she's safe, thank the Twelve, what a relief let's cele-' followed by '...t-this is very bad.' That's what I'm referring to by a Gwen Stacy effect. It's not a question of whether it's actually possible to save them. It's a question of whether a (relatively) ideal hero ought to be able to save them.

Nanamo was the best setup by far in ARR, until they squandered it. Double points when someone you trust betrays you in the process.

Zenos also just seems too bored with everyone else as it stands to really get a kick out of hurting your friends. It would be like trying to pick a fight with an natural disaster or force of nature. He just doesn't have real intent. The Black Rose would have been an easier way to go the Kefka route, if he was so inclined. There'd really have to be something else twisting his personality in a more sinister direction. Honestly, the closest FF parallels that I'm drawing at the moment are Seifer and Kuja. He really just wants to win, outmatched as he is. Not really final boss material.