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Disclaimer: I'm not an expert of EX classification myself, but I once was project/product manager for such a project (a zone 0/20 intrinsic control system product). While I can't answer the question directly since my product contained no transformers nor flyback regulators, I can share some related experience.

The tricky part of EX is that one has to think in temperature rather than voltages and currents. So while one can reason about max currents and power in a certain part of the circuit, what's really relevant is how much heat this corresponds to in a certain location. So even if you can theoretically guarantee a maximum current somewhere, it's all about how much heat that maximum current generates at a certain component. A thermographic camera is great for practical experiments here (and awesome for troubleshooting PCBs in general).

The main safety measure we used was to mould the whole PCB inside a plastic material with good thermal characteristics. This caused all heat to spread far more evenly across the product, both during failures and normal operation. For conformance purposes this also made it easier to reason about the PCB as one single component rather than hundreds of components. 

We reasoned that a short at any random location of the PCB could cause a current rush that would manifest itself as heat building in the voltage regulator before anywhere else. It is correct that resistors can be regarded as safe since they fail open, so what we did for extra safety was to use low <1 ohm resistors both for the purpose to act as fuses and for spreading heat more evenly. We placed them in series with every voltage regulator in the product (the product contained both switched boost, switched buck and some LDOs), so that an unexpected current rush in a regulator caused by a short in the circuits supplied by it wouldn't cause excessive heat. 

To test it all we introduced shorts at certain locations while observing the heat across the moulded PCB with thermographic cameras and ensured that it was kept well-below the classified limit (T=85 dgr C I think it was).

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Regarding the zener diodes, I suspect that you need the same "zener barrier" circuit with 3 zener (3 are required for zone 0/20), 1 series resistor and 1 fuse (I think the fuse is optional) in series towards the sensors (P1) that are located in the hazardous zone.