1) Hercules is very good at dodging swords. One time he fought a guy with a poisoned sword where one nick would be fatal. He won. Plus, one punch and Zorro is out cold.
2) Xena has fought gods, demi-gods, angels etc and won. Has Zorro ever done anything like that? Even with an adamantium sword, Xena is skilled enough to parry blows, so it won't just pass right through her sword.