One issue with Zendo that doesn't necessarily make it a great game for actually improving rationality is that the rules are made by humans, so you can use psychology to get information. For example, I was playing with my family a few nights ago and my mother guessed a certain rule, my little brother immediately said "That's not Josh's rule. it isn't elegant." And sneakier players can do even worse stuff using sidechannel attacks. In particular, how long it takes for the Master to judge whether different configurations fit the rule can give a lot of information about the rule form.