I wonder if the Zenny thing was suppose to be a way to not share the revenue with Steam and PS.
You'd still have had to buy Zenny through PS Store and Steam. All Zenny (and all fake currencies like it) are for is to force you to buy currency in increments that don't match anything you can buy. So if a new character was 600 zenny for example, you'd only be able to buy Zenny in bundles of 800. This would incentivize you to buy more so you don't have 200 wasted sitting in your account.
They dropped it because there is an issue on CFN where you can sign in randomly as another user and they haven't been able to fix it. By tying the purchases to your steam/psn account they remove themselves from possible legal issues of people fraudulently buying stuff under someone elses CFN.