he remains the next largest threat to the world's safety
Does he though? Because all of his antics from ShB through Endwalker does not make him feel that way. I am on team "I just wanted to walk away." Zenos has not felt threatening since we defeated him at the end of Stormblood. Even when he takes over the WoL's body, well, that was all facilitated by Fandaniel. Zenos just went along for the ride. He did not feel like a threat to me. I didn't hate him. I didn't want to fight him for any reason, not for revenge, not because he was dangerous... he just didn't inspire any of that in me. I wanted to go back to my friends, and honestly refusing to fight Zenos feels like a better way to defeat him and all of his weird stalker-ness than actually defeating him in combat. Mostly, he felt so pathetic and whiny to my WoL that I didn't have strong feelings about him at all, except wanting to ignore him. I certainly didn't want to give him what he wanted and I certainly didn't see him as the next biggest threat to the world. He was just a sad defeated man trying to re-live his glory days.

TLDR if this is the reason why there is no option to just walk away from him, the story utterly failed to make him feel threatening whatsoever.