This is very interesting.
Even though I don't have a Wii to test Zero out i'd like to give some suggestions, I seen the vids of Neko/ :V playing Zero and I can see why he's unbalanced.
I also played all 4 of the Megaman Zero games, I don't know what happened after. lol
Just a few new things you should possibly give him:
Bullet Destroy: If he slashes any bullet (projectile) with his sword it becomes destroyed, some characters projectiles go through others moves like Falco, this would be useful cause now he could fend off projectile campers. >
I forgot the real name of this abillity though. >_>
Give him his downward nuetral A: Use Link's second F-smash animation or the Beam Sword F-smash animation.
Make it so he has somewhat of a third charge after charging his buster long enough: this would be a nice kill move, I don't know what the graphics on this move would be though.
Give him his dash attack roll+extra dash attack combination: Simple, make it so when you hold down after inputting the dash attack he does his roll attack, it's basicly what N-air looks like exept on the ground and the extra attack is his normal dash attack after pressing A again.
Make it so when he D-tilt's you have to press it twice for him to do the slash behind him.
He should be able to F-smash in the air: simple input. >_>
F-tilt's hit box should come out faster.
Give him a diffrent ledge get up attack.
Next is his stats, he almost seems balanced, he just needs real kill moves.
One of them should be his F-smash obviously, it should be as strong as MKs original brawl D-smash since his F-smash is slow, and it was strong in his game.
D-smash fully charged should kill like Ivysaurs Up-smash.
Up-smash should kill like Marth's Up-smash.
Give his boomerang slash effects upon hitting a character and make it do mutiple hits as it stays out longer.
Make him lighter, just don't change how he jumps. >_>
Toon Link weight maybe? or give him that Wario weight. >:O
I think I saw a glitch when Zero got U-tilted by Ganon. O_o
Fix?
Make it possible to change directions with Z-air to recover easier, possibly like a B-reversal?
U-tilt's attack should come out faster, the animation speed is fine.
D-air should spike when fast falled.
F-throw and B-throw should have better knockback at 100% so it can be a slight kill move.
But pretty much he just need's kill moves, he'll be perfect after that.