I don't think you are missing anything. It's likely just a matter of taste, and particular needs vs. value. I don't care about background images either. But I do like the customization abilities of ZLauncher and the interface it uses to make those customizations.
I was a long-time Launcher III user and debated moving to LauncherX, but after getting my T|T I went with the OS launcher for awhile. More and more people raved about custom launchers, so I'd thought I'd give some a try.
There is a comparison chart of launchers
here. It appears that Launcher X and ZLauncher are very similar in feature sets. Interesting to note that while Launcher X does not provide for wallpaper support, there are plans to.
To me, the differences between launchers are minimal. According to that chart, Launcher X provides password-protection for tabs, but not an "All" tab. LX also has an auto-scan of multiple folders. LX does offer different views per category (this is the one difference that really matters to me - I'd like that feature).
I was impressed with ZLauncher's price/value. It's less than half the cost of LauncherX, providing nearly identical features. Hard to argue with that one.
I still haven't played around with shortcuts yet, and am not sure if LauncherX and ZLauncher implement them differently. Your post indicates that things might be easier or "automatic" with Launcher X in regards to using program shortcuts, but I have no way to compare just yet.
I do want to start moving my seldom-used Shadow lists to my external card, however. (and I'm sure I'll mess something up and be asking for your help ... )
All in all, I don't think ZLauncher or Launcher X are necessarily better than one another, just different. The overlap of functionality is huge, and it often just comes down to preferring the little things of one app vs. another. You said you use Shadow (as do I). We could probably be having a very similar discussion about Shadow and Bonsai, or Datebk5 and Agendus.
[edit]: One thing I forgot to add was that Launcher X is almost half the size of ZLauncher (430 KB vs. 815 KB). That could be very important to some users.