[theflyingturkey]

Well Zen is pretty much aware of what going on with the Wings of the Sun, which is what Mykage seems to be after.
As seen in the most episodes, he constantly gets the cast to get their act together.

And then there's also the fact that:

Spoiler for Zen's past:

Zen knew Mykage from 24 000 before the events of this series, (as shown in episode 13) meaning he's been around since Apollonius and Cellliene. He's been playing this game agaisnt Mykage for at least 3 times and is no doubt fulfilling his role as the eccentric mentor to get the cast to deal with Mykage. With all this going on he's pretty much a driving factor for the reincarnation plot.