Lorewalker Cho could be considered a 0/4 removal magnet who provides free spells. He might slow down the tempo, but is the advantage greater than the disadvantage?
Lorewalker Cho is not aggressive.
The Zoo deck is an aggro deck--a deck that aggressively attempts to kill off the opponent as quickly as possible. Lorewalker Cho does not further that aim since he has zero attack value.
Lorewalker Cho does not protect you or your minions.
Shieldbearer and Voidwalker are also not very aggressive, but do find their way into Zoo. The difference is that taunt is an effective way to protect your hero from other aggressive decks as well as your aggressive minions from opponents minions.
You might think that, as taunt protects from minions, Cho would protect from spells. This is unfortunately not true. The spells that wreak Zoo (Flamestrike, Swipe, Unleash the Hounds, etc.) are not as helpful to the Zoo player as the were to the opponent. Cho also does not act as a taunt for spells--you call Lorewalker Cho a removal magnet but I think that is mischaracterized as he does not represent a threat to be removed.
Lorewalker Cho helps your opponent too.
Every spell that you use also becomes a card in your opponent's hand. The Zoo decks two common spells (Soulfire and Mortal Coil) are good against Zoo. Also any spell you get from your opponent you could give right back when you play it.
Although Lorewalker Cho does have merits (excellent body with Dire Wolf Alpha, Defender of Argus, and Abusive Sergeant), the tricky nature of his effect and general lack of attack power will simply slow down the Zoo deck which relies heavily upon speed.