Once a Nazi always a nazi, it's kind've a hard sell. "Oh I'm just reading up on the adventures of Baron Zemo, Marvel's Nazi Superhero!" (And yes, I'm aware that it's actually his father Heinrich that was the former Nazi, not Helmut. But it's still like a hero putting on a magical Hitler costume and fighting crime.) The former Nazi trying to redeem himself storyline only works if he makes the ultimate sacrifice and dies in the end. He doesn't become part of the company's stable of heroes.
He makes for a good villian though, with his over the top monologues and what not.