I'm guessing that Zetsu was one of those members who was left in the dark about Madara being Tobi. I think Pein and Konan were the only exceptions, and Itachi of course.
I always just assumed that Zetsu was a schizo, don't know why he talks to himself but it makes no sense why he would have two distinctive separate halves. Idk I guess that'd be trying to explain Deidara's mouth palms or Kisame's shark-like appearance.