Zargon is an ancient baatorian, and implied to have been their greatest leader. His "people" may have been (seemingly) driven to extinction eons ago, but he's effectively the "rightful" ruler of Baator that the baatezu overthrew back in planar pre-history.
So even if the threat of him making a play for revenge is low, I can see plenty of reason for Asmodeus to devote at least a small fraction of his attention to keeping an eye on Zargon's movements and making contingencies in case he ever becomes a problem again. Wouldn't want a "once and future king" scenario.