A. Zim is actually competent enough to escape, he's done it before on Foodcourtia. He would likely justify it by saying whoever captured him made a mistake and that he needs to get back to his mission. which he's too dumb to realize is fake because the Tallest never told him, out of either some weird kindness or pity. Or because they like fucking with him.
B. If Dib or Gaz didnt end up stopping the agent, Zim would SOMEHOW make him explode or something. For being an idiot he's terribly good at destroying things that aren't any of the Membranes.
C. As much as a snack-filled planet is cool, the Earth is so far off the Irken radar and not worth conquering. Outside of Membrane MAYBE, no one could stop the Armada if it showed up to Earth. (Dib couldn't even destroy the Santa suit with Membrane's arsenal, just sent it somewhere else.) The Tallest couldn't find a use for Earth and we're so weak its not worth their time.