I think that characters such as Zenos can work but they need to be handled a certain way to truly feel intimidating. The super powerful swordsman who is merciless and only feels alive when he's in the middle of battle is not a rare trope, especially where JRPG's are concerned. Yet as it stands, Zenos simply leeches a lot of what makes the Garleans and Ascians compelling and gets in the way of their stories. There's a good reason why the likes of Regula van Hydrus and Emet-Selch are generally considered to be deeper and interesting characters than the likes of Zenos.
To counter the inevitable, I will also agree that not every antagonist/villain needs to be sympathetic. Yet if they're not going to be sympathetic, they need to be entertaining. Zenos spending a great many scenes accomplishing little beyond complaining about being 'bored' didn't exactly help to make him compelling. Now anything he does do is going to be attributed to Fandaniel.
Media Tour Spoilers:
With Garlemald being unveiled as a level 83-85 zone, I'm hoping that means that Zenos will be dealt with around that point. He already served as the final boss of Stormblood, essentially. We've had multiple fights with him outside of his time as Shinryu. We're inevitably fighting him at least one more time during Endwalker...but I do hope there is a twist and he turns out to be a useful idiot or liability strung along by Fandaniel and then gives way to some other, bigger threat.
Personally, I don't see many similarities between Sephiroth and Zenos beyond some very light coincidences. I think they're very different characters, ultimately.