Zero is Xion, or what is left of his soul. His angelic wings represent the two entities inside his body, the black one resembles Zeroboros, the white one resembles what is left of Xion, but for all causes, Xion no longer exists. It seems he went to Elde to find someone able to replace him as the Guardian of End Earth. He later chooses Souma, and after meeting him between worlds, states that he now 'entrusts' the world to him. He was shown to have still possessed the Twin Dragon Rings, but gave Souma one of the rings, telling him to use it to see the true world.

He keeps running from Mao, as some time before, he unwillingly killed Ryuna (she impaled herself upon his sword) in order to destroy Zeroboros, who lived inside her, but instead it possessed him, making him sprout black wings form his back. During that altercation he also killed Lazarus. It was Mao's calling that made him fight Zeroboros' possession, turning one of the black wings white, thus leaving a piece of Xion's soul. He later accepted himself as no longer a human, and revived Ryuna and Lazarus using the capsules in the Sea Dragon King Ruins.

He decides to leave the group and is currently watching the world, entrusting Souma with protecting the world in his place.

(Source: Wikipedia)