The reason is because in COX, it never really made sense for a "vigilante" to go around adventuring with criminals. He/she would want to kill them instead. I didn't see a whole lot of players building toons around the vigilante idea for that reason.
"Zealot" is a more broad catch all. An anti hero. A terrorist could be considered a "Zealot". For example, an eco-terrorist who plants bombs in trees to kill the lumberjacks who come to cut them down. It's evil, but "for a good cause".
Zealots are happy to shake hands with the devil if it will forward their particular cause. They are idealists who are not motivated by money (so certainly not mercenaries), but they are totally ruthless and feel like any rules of right and wrong (outside their particular fixation) simply don't apply to them.
A vigilante is just a zealot who becomes fixated on punishing criminals. But even a proper hero might still go outside the law sometimes to bring a particularly nefarious criminal to justice.
That's why I'm suggesting that, if we want people to seriously take this aligment and make characters around it, then either Vigilantes need to never work with villains - or that name shouldn't be used. Zealots can think of themselves as vigilantes if they want.