Don't know what you did wrong with Zevran. If you tell him outright "No", when he first asks if there can be anything between you, he's fine with it. My girl was romancing Alistair and Zevran became her best friend. He even asked to stay on with the Wardens as a mascot. Naturally if you lead him on and then turn him down, he's going to getting narky about it.
Anyway I much prefer Zevran as a companion. His banter with other people was genuinely amusing and on the whole he wasn't too judgemental. He certainly couldn't give a stuff about whether you believed in the Maker or the elf gods or nothing. Mind you it is difficult to compare them fighting wise since everything changed after Origins and in any case he was primarily a dual wielder, although he was reasonable enough with a bow (in the days when you were allowed to have two weapon sets, so could interchange them mid battle).