Pink Diamond is an asshole and her reasons to be with the humans feels questionble.

Zim at least has done an few heroic acts like Helping Squidman find his family

Stopped Planet Jackers from Destroying Planets

Defeated Sergeant Slab Rankle Zombies

Zim is arguably far less sympathetic than Pink as he engages in horrific atrocities with sadistic relish, to blatantly attempting mass scale genocide on the human race with the added bonus of evil ass experiments he done on humans. Don't forget the mass destruction and death he did to his own people during Operation Impeding Doom 1 which he showed zero regrets for. Pink at least cares for her family and the human race and has much more heroic moments than Zim, who's egoistical psychopath and a narcissist who rarely cares for anyone besides his own self-declared glory. Hell, him saving the Earth from the Planet Jackers is solely for the fact he wants to conquer the Earth and thinking they're stealing what is basically property to him and his kind. He has zero issues destroying the Earth himself as he shown on several occasions.

Zim is far from sympathetic as you can get. He's a sadistic psychopath who is funny, but Zim and Sympathetic do not mix at all in my opinion.

EDIT: Bruh I can't believe I accidentally voted on Zim when I should've voted on Pink Diamond-

That still doesn't make Pink Diamond more "sympathetic." She is worse than him like she abandon her own follower in a fucking planet for many years until she turned insane.