It would cheapen his exit, and I would prefer for Zenos' contrast to remain intact. A lot of fiction out there have a tendency to fumble at the goal line, and totally poo on what was otherwise an intriguing and thought provoking story arc. Zenos is kind of the opposite in that nearly his entire arc was 'meh', yet he totally brought it around in the end. All the while remaining consistent with his character. Never wavering from the "My first friend... my enemy." feelings he has for the WoL.
I think it could be cool to see him in an echo-vision of some sort. Perhaps even giving us a glint of his early training; likely besting his masters. As an active character though; just no. Please. I don't say that because I dislike him. The exact opposite.