I think it makes sense for Zaheer to help her out. For one, I never thought that Zaheer disliked Korra as a person, but because she was the avatar he had to kill her. He knows that he is going to be locked up for a while, so he could at least use Korra to advance his own goals until he can break free. I know we'll never see it animated, but there is no way Zaheer lives the rest of his life in that prison. He is too badass.