Ok, so I conducted some tests on my DS. I know exactly what you are talking about because it has happened to me I i always wondered "WTF?!".
So I put Zoroark 2nd in party like you did. Scizor was was first so he went out. My last Pokemon was Tornadus.
I switch to Zoroark and he changed to Tornadus, as expected. Then I switched to the real Slim Shady... I mean Tornadus.
So now, Tornadus is 1st and Zoroark is my last Pokemon. I switched to Zoroark, and he stayed Zoroark. I'm guessing because he was the last in the party, he can't copy himself so he went out as himself.
So that is it: Zoroark will stay Zoroark if he is last in the party.
I know you said he was 2nd in your party, but through the course of any battle, you will be switching alot, so he will probably enter Slot #6 sometime