Wow(looks at profile), you've been busy.
Anyways, I can't tell you it in person since I just, well, IT'S COMPLICATED!
Aaaahhh...
MORE HINTS:-Like mentioned before, Ciel knew that her Resistance is dwindling. She finds that the only hope for their movement is Zero. Perhaps she is the only one to believe in the "hero long forgotten".
-When Ciel reveals to Zero that she herself was the one who created Copy X, the antagonist of MMZ1 and the ruler of Neo Arcadia, Zero didn't hold her in contempt, and continued to fight for her cause.
-Whenever Zero is sent out on a mission(the only exempted cases would be when it was Elpizo who sent him out), Ciel always asks him to be careful. This began even during the time that they don't know each other fully yet(in MMZ1).
-During the one year time-skip between Z1 and Z2, Zero is in a self-imposed exile, travelling the desert while continuing to fight Neo Arcadia's forces sent to hunt him down. Zero is now tired of the fighting. He finds that he has no reason to fight anymore, and decides to find Ciel and the Resistance again, to give himself a new meaning to fight again.
-Once Zero has returned to the Resistance base after the exile, Ciel raced to the medical lab, quick to forget everything else, just to see if he's alright.
-Dr. Weil, the main antagonist of the latter half of the series, plays a cruel trick on Zero. Taking advantage of the latter's amnesia, Weil tricks Zero into believing that he(Zero) is a fake, while Omega(Weil's monstrous masterpiece) is the real Zero. Omega's outer shell began to crack, and Omega's true form is revealed, inside of Zero's original body!
The "Fake" Zero manages to defeat Omega Zero in a duel. MegaMan X appears, and reveals the truth: Omega is using Zero's body, and that's all. The real Zero, heart and soul, is still inside the "fake" body.
In the aftermath of the battle, Zero wakes up in Ciel's arms. The latter reinforces X's facts and believes that even though Zero now lives in a copy body, he is still the Zero that she always believes in. Zero, as unexpected for anyone to come from him, thanks her.
-Prior to MMZ4, Ciel has created a mobile travel unit(perhaps one of many) to provide assistance anywhere they go. Either Zero or Ciel was part of the original group in the unit, while the other one was quick to accompany him/her.
-The massive Ragnarok space station, detonated from the inside just before it hits the atmosphere. No one, not even a hero, can survive that.
-This is after the credits, in which Ciel believes Zero is still out there. Of course...
-...we all know otherwise.
The HINTS go on even after Zero's death, in ZX:-Just as Ciel promised to him, the world is now living in peace. Humans and Reploids now co-exist with each other, and there is no more racist bias between the two races. Alluding to romance between humans and Reploids(Ciel and Zero, and Neige and Craft), the two races sort of have a merging, creating a new race, Humanoids.
-When Dr. Weil returned as a threat, in the form of Biometal W, Ciel quickly designed six other Biometals to combat the threat. They are, simply put, based off of Mega Men X and Zero, and the 4 Neo Arcadian Guardians. The Biometals are able to fuse with each other, and the most powerful combination, the "Ultimate Mega Man", is that of ZX, which is, obviously Zero.
I remember another friend of mine commenting about this shipping. He sounds not unlike you, however, while your opinion is set on Zero's death, his opinion is on another, more perverted, thing. He thinks on how Ciel and Zero are "going to do it".
Although your opinions are different(thank heaven for that), it's the same in vein. You both judge the ship on its outcome, not on the "means" of the ship.