As I posted earlier, he was a Sokovian intelligence officer who lost his family during the events of AoU, but neither of those facts precluded him from being a Baron and coming from wealth. It wasn't touched upon in CW probably because they didn't have anything further mapped out for his character at that time, but now that they've got the Fox properties back there are new story lines they can pursue. I'll grant you it was a bit jarring, but IMO not a ridiculous reveal and worth it to have Bruhl's Zemo back. Plus his having $ makes some of the stuff he pulled off in CW more believable. As for Bucky's "working" with him, Zemo's CW scheme ultimately led to Bucky's being cured in Wakanda, so he has less of a grudge against Zemo than the Wakandans do. Zemo is a means to an end (and an expeditious one, which fits Bucky's pragmatic style), but it certainly seems Zemo is using him more than the other way around.
As for Sharon, I believe she was one of the people assumed to have been snapped out of existence, so if she didn't find a way to reach out to Steve in those 5 years he probably had no idea she was still in hiding from the authorities (for aiding & abetting his escape in CW). Plus post-snap it wasn't like Fury or Maria Hill were around to tell him otherwise. I find her post-snap absence more believable than his not tracking her down between CW and IW. I'm pretty sure her absence then was due to Emily Van Camp's TV commitments more than flat out forgetting about her character, though I'm not sure they would have had much for her to do in IW regardless.
I think there's more going on with Sharon than meets the eye. There were snipers up high covering their escape from that nightclub, so she's not working alone. My guess is she's working deep cover with a team of assets supporting her, but to what end and for who (Fury?) I can only speculate.
You may not like the series so far but IMO it's far from a "crap" series so no free pass is required. I do think everyone's expectations for these series are a bit over-the-top. We're so starved for new content we want these things to go from A to Z in one fell swoop, and we should realize that this is not the (MCU) way.