You know, I have to give it to Zelos: I didn't really suspect he was a spy until the last moments. As I'm replaying it I can tell he knows more than he's letting on, but it's not necessarily about his work with the Renegades or Cruxis. Sometimes it's to protect Regal's past from leaking out. In terms of spies though, Anise still comes out on top. You really didn't figure it out until the final moments.