I also quite enjoyed the part Zenos played in the story. To me everything isn't about moving the plot forward or making perfect sense, it's also about addressing maybe less obvious issues like
bringing some much-needed levity to the story. The ending is filled with nothing but dread, depression, tears and hopelesness, so having him arrive from nowhere in the form of a giant dragon to help us win the day was a good way for the story to make fun of itself, and surprise the players. Make them feel empowered even. Which is ultimately the goal of the writers, at least I'd like to think so.
Also and most importantly, acknowledging an aspect of the playerbase that is rarely evoked in the plot. We are nothing like the WoL. We don't play XIV to make the world a better place (or do we ?), yeah like them we probably enjoy forming new bonds and adventuring with people but the main goal is mostly to feel good about ourselves. We enjoy the challenge, the progression through hard content, the betterment of our character through levels, crafts and loots or amassing of wealth. Unlike the WoL's, our motivations are egotistical for the most part (sorry to you good-doers out there) and this, imo, creates some kind of narrative dissonance, and it's quite the hindrance when you want the player to feel like they are the WoL.
Zenos allows us to acknowledge that. To say out loud that despite all our grand deeds and pretty words we are also driven by selfish motives. And that, at it the end of the day, it's perfectly ok. We might not be the perfect embodiment of light but the writers still give us the thumbs up, they still recognize us as the WoL. That's the sort of communion and resonance they are going for... Well at least that's the way I feel.
Which is why I think Zenos is great in EW.