That's where I find z-scores a bit of a dilemma, because you're adding all the z-scores to paint an overall picture of a player, but in fantasy, player values are judged by individual categories as opposed to a cumulative score. A scenario like Kessel would be great for H2H cause he helps out in 4 categories while sacrificing 2, which would lead to a small victory. The only problem for me is the 4 areas in which Kessel is strong in there is leeway for error, whereas an option like Sedin, because the areas of his strength are so much more than the average of the alternative, I can lock his strengths away and not have to worry too much about leeway for error.
I think you need to be a little clearer here and draw an important distinction: value to your team
is judged by individual categories. I'm not by any means saying you don't need to manage specific categories because you absolutely do, but I am saying that holistic player valuation happens separately from that. If you're running away with the A and PPP categories in a matchup and lacking in the PIM that'll seal the win, does that mean you should punt Henrik or Thornton for Konopka because the value to your team of Konopka is that much higher? Of course not! It's a simplistic example, but it demonstrates that "value to my team" and "player value" need to be separate concepts.
You're certainly right that each category is measured by the individual stats and that the margin of a win is a single point/shot/PPP/etc but those can still be expressed in terms of z-scores (ie standard deviations within that stat from a point of reference).
The inherent risk to managing as you suggest -- not giving full weight to extremely poor performance in "punt" categories -- is that your team is considerably more vulnerable to cold streaks and injuries. As long as you can accept/manage that risk you might be better off, but I'm not convinced.
My view has always been that you can maximize value on your team (independent of team needs) while managing to category needs (as you need to) - it lets you have strong trade value to address unforeseen needs and gives a better ability to manage variation.