Zsavage with Zmaul leader or Nihilus leader?

Disagree. He can crit when under zihilus but under maul he'll have advantage so often, and when he doesn't he'll have crit chance up, so your losing out on biiiig damage. He doesn't neeed that health steal as much due to all the HoTs he'll be getting

He is brilliant under z maul... only way to kill him is anihilate or culling blade / execute with several dots...

Under Zaul he can gain stealth and won't be able to be critically hit while stealthed. Which means he won't be cleansing himself as often. He's great with both leads, but I think he's even harder to deal with under a Nihilus lead. If he's under a zaul lead, you can shock/daze him while he's in stealth and just hammer out as much damage while he's unable to cleanse himself. You can't do that if he's under a Nihilus lead. (No matter what Zavage is still easily countered by a Nihilus lead so if you're also facing on Zavages having a nihilus lead is probably better).