Wow. I'm honestly surprised people are picking the other options.
Practicality is not effective on Zuko. His answer would be that he'd manage. I mean, Aang's entire arc while doing this is all about finding a way to beat Ozai without killing him. It's almost trivial for Zuko to claim the same: "I'll have uncle and my friends to help me, I believe in them, together we can do anything, blah blah blah". Why would Zuko agree to being Azula's advisor? Why would he think he would have any influence on actual decision making, if he has no experience or temperament suited to it? Zuko's literally learned a new way of firebending that shows you can be strong without anger or rage or whatever. Zuko will say he can be a strong Fire Lord without being Azula's kind of 'strong'. I don't see this conversation leading anywhere meaningful.
Similarly, a Challenge would also not work. Zuko responds competitively to challenges, especially from Azula. And his idealism means that he'd be certain of finding a solution ultimately, of finding a way to make it work. And even if not... again, becoming Azula's subordinate is not a viable option for what he wants to achieve.
But Sympathy? Ohhhh, yes. Zuko knows all about this transformation - after all, he was the person striving to be Fire Lord before, when he was always angry, trying to wear ill fitting clothes. This is a productive conversation. This is a conversation about character, about destiny - about ethos anthropos daimon. What would Zuko's answers be? And what would they reveal about Azula and her character, about Ursa's character, about Iroh and Ozai's characters? For that matter, about Roku and Sozin, their ancestors, going from friends to enemies?
[X] With sympathy. Zuko wishes to be Fire Lord for the sake of his dreams. But the Fire Lord does not dream. The Fire Lord does not feed scraggly turtle-ducks in quiet afternoons beside the pond. The Fire Lord is the scale on which all life in the Fire Nation is weighed. Even if he could survive the pressure, the man who emerged from that crucible would not be the man Zuko wishes to be. But you? You are already a monster. You are already willing to do all the things it would ruin your brother to do. The sooner he sees that, the sooner he will understand you are the only choice to rule.