People is saying that Zeon is suspicious, but I don't see much of that here. Not wanting Emiel to accompany them makes sense: he's in full knight uniform and he being with them will only ruin their intention of going incognito. Also, all knights report to the house head, if they get into trouble they will inform them and punishment will be delivered (probably Zeon has been in that situation before). Also what he says about the Estelle-Anne relationship is true, Anne IS a subordinate of the Castiellos, and being too close to them may be seen as a weakness by others, specially by those wanting to take advantage of that. And even then he soothes his opinion when he sees that Estelle wouldn't be willing to put distance between she and Anne.
So... I don't see much as for why he could pass as suspicious. Sure he may be wanting to be close to Estelle, but if he tried something more Carlo wouldn't allow it (probably with a sword and extreme prejudice) and Zeon knows it. If anything Zeon serves here to show how naïve Estelle is and how much she needs to grow.