[He doesn't really expect Setsuna to understand, so that's alright; Zero is a symbol to those who fell under the grip of Britannia. Strangely, this refusal brings out a small chuckle. "A" Zero?]

You misunderstand. "Zero" is what I am called, for I am not one individual but one who represents something for the many.

[It's that familiar quality that actually prevents Zero from immediately dismissing their conversation. Genuine, perhaps innocent, before they unleashed Hell. He doesn't wish to taint it, even with the meaninglessness of this space, so he'll omit those certain details.]