Not to mention Zero was a fairly atrocious game, story-wise. The protagonist wasn't even involved half the time and for the majority of the rest he didn't know who he was or what he wanted, lost his memories as many times as there were seemingly random time-skips (about four) and had the most awkward excuses for the hentai aspects since FATE with it's mana exchange nonsense (it's basically the same shit)There are no previous games.
Sequel, who turned out to be a prequel, came out AFTER this game.
It would be foolish if you had to know the story of a game that didn't exist at the time.