I got the impression that taking out two of those three primary nerve clusters in the opening attacks significantly handicapped Zion's abilities, the actual battle was also very quick; it was over in like a dozen seconds. Zion probably could have done a lot more than he did, but he was caught flat-footed and the battle was over before he could regain his balance.
To use an analogy; Varga basically snuck up behind him and stabbed him in the back a bunch, Zion flailed in panic and in his flailing ineffectually hit Varga a few times, and then he got blown the fuck up.
Remember; Varga is an Outside Context Problem for Zion, the Entities have never encountered Varga-magic before and have no idea how to respond to it. Zion is also the Warrior, not the Thinker, and so is ill-equipped to act outside defined parameters.
Zion describes Sting as: "charging objects with energy [...] the small pieces of alloyed metal unfolded, taking shape in not just this world, but all realities, at the same space and time, bristling with an effect that would sever their attachment to most physical laws." and in
this post Wildbow states that "Sting, for the record, is akin to the shark. Sharks haven't evolved for aeons, because you can't get much better than a motherfucking shark. What you can do is put the shark in a tank with other fish/animals and see the way things might play out."
Ignoring select laws of physics isn't going to bother the Varga at all, because the Varga only obeys physics when it feels like it. So Sting is not going to be effective against it, in fact from Luna Varga it's pretty obvious that the only thing that can actually seriously hurt a Demon of Varga's kind is another one. The Entities are extremely powerful within the realm of manipulating physics and are all but unstoppable when operating within their predefined boundaries, but they have no real response to beings that employ outright magic like the Varga; learning how to use Varga-style magic would be one way for the Entities to solve the Cycle, as it allows for the creation and destruction of matter\energy and space\time, thus defeating Entropy.
The Entities are very 'robotic' in nature; they do not do well with thinking outside the box, Outside Context Problems like the Varga are the worst possible things for them to deal with, as the only method they have to cope with OCP's is to bash themselves mindlessly against it until evolution via 'natural' selection takes place and provides a solution.