Thats a very good question, and I'm glad you asked it. Obviously, rarity is one of the reasons, but you are right, it should not be the sole reason. Honestly, I would have to say rarity, marketability, financial, a learning experience, personal interest, amongst other reasons.
Everyone breeds, raises, trains or owns horses or knows someone who does -I'm pretty sure we can all agree on that. Just in my simple searches, I have found several outlets for tame, semi tame, and "naturally raised" Zebras and Zorses. Zoos are constantly looking to purchase worthy exotics, and Zebras are on the top of their list. Many private individuals are willing to purchase exotics for their own personal colections - trained or not. I also think a Zebra could be an effective marketing/promotional asset - parades, open houses, ect ect.
Now if an individual (myself, we'll say) wishes to own a Zebra(s), can benefit financially from the venture - with possibilities of that venture supporting his other Horsey Habits, is bettering himself knowledge wise and relationship wise, is having a good time doing this venture, and "can be the one with a cool Zebra" - why not?
As far as playing god, just an FYI, but Zorses, Zonkeys, and Zonys are infertile. Such animals are bred for a specific porpose, utilized for that porpose, and thats that. Theres no difference in that and selective breeding, as stated before, for say a jumping horse, or a draft horse...just like domesticated house cats, ect ect. Quarter horses are bred to Arabs all the time. So are Quarabs wrong?
Also, I'm not understanding what is completely different between horses and Zebras. They are both equids, there both from the equidae family and of the equus genus [citation Wikipedia]. Bone stucture, muscle structure, circulatory systems, even down to DNA stucture - they are side by side, if not identical. I will note that personalities differ, generally, but anyone who has spent time with an Arab and spent time with a Clyde will tell you the same thing.
Also, just an interestingf tid-bit, here's a picture of a man jumping a Zebra. File:Zebra-tame-jumping.jpg - Wikipedia, the free encyclopedia