I liked both, but I think Arthur had more character to him than Zhen. We didn't get a lot of Zhens past except she lived with the thieves and was raised by the chameleon. Whereas Arthur was related to Fiona and had a bigger plot line

Arthur was tied to the heroes and Zhen was tied to the villain. Arthur was a cool character and one of the better parts of Shrek 3. Zhen too has a big plotline, she is going to become the next dragon warrior similar to how Arthur is the King of Far Far Away. I will go with Zhen because I like her student chemistry with Po. I also liked the contrasting characters of Po and Zhen. and her fighting styles. Their relationship does not have much emotional depth yet but its just a start.

Another big difference is arthur wasn't secretly a pawn by charming to get rid of Shrek unlike Zhen who was the chameleons 2nd in command and lured po to be captured

Yeah, like I said Arthur was tied to the heroes and Zhen with the villains. In the climax both try to rally villain like characters against the main villain. Arthur rallies the fairy tale creatures and Zhen rallies the Den of Thieves. Both use words of wisdom given by the main protagonists.

Arthur. Regardless of your opinion on him, he at least had a better plotline. He was Fiona's cousin and next to be king, and also he has greater angst about his father ditching him.