I don't think Zenos is the best villain ever written. I do think that he is underrated and over hated though, and misunderstood.
He is meant to be a foil to the WoL. Where the WoL comes, seemingly from nothing, raising themselves up by their bootstraps to herohood and the path to being super powerful, Zenos comes from royalty and is bred and experimented into being super strong. Instead of using violence as a means to an end for altruistic endeavors and to save people, Zenos embraces violence for its own sake, for the sport of it, and to incite other people towards his philosophy.
When we are introduced to him in the story, he is very clearly depressed, as he hasn't found any sporting challenge befitting one of his strength. He's more than just bored. His world view and superiority complex make him this way. In a way, he is a reflection of the type of player who plays only to raid, only to beat the toughest stage, and looks down on everything else. This is probably the reason he falls flat for so many, and it's not like a lot of raiders even watch the story, heh.
It's not really his personality or worldview that are compelling, but the actions he takes within the storyscape. He funds and propels the Resonance project, imbuing him and others with the Echo. Then he proceeds to master it or show a stronger version of it than any other Echo user, taking control of Shinryu(a primal approximation of Midgardsormr in his prime, made from Nidhogg's eyes, Ilberd and his sacrificial lambs). When he still loses, he proceeds to take his own life. This hinges on his worldview, that he has found someone capable of greater violence and strength than he. This affirmation, this first defeat makes him truly happy, and he feels he will never attain this high again. Only, he did not know that he now needs to be killed with something akin to a Blade of Light in order to actually die.
Had he defeated us, he would have gone on to raze the land, searching for primals to fight or enslave. Likely winding up depressed again. Things did not go that way though, and his revival was as much a shock to him as it was to us. So, of course, he seeks us out, knowing we will not disappoint. That we will likely lead to satisfaction. That it is ultimately the pursuit of power that matters most.
Also, remember, the default dialogue option for the WoL when asked, "Why did you become an adventurer?" is, "To gain power." Zenos is a villain based around that. Not the best, but quite enjoyable in my opinion. And a good deal more enjoyable than Thordan, the religious leader who turns out bad in the end trope.
As for killing Emet-selch and why we had to kill him... to give his character gravity and for narrative consistency. We hit him with Auracite and a Blade of Light. That's the kind of stuff that hurts and kills immortals. Had he lived, we'd have to have a whole arc explaining why, and then finding a new way to kill him, so we could eventually kill him.