I’d say watch the Taliesin and Evitel video on the new cinematic. He explains it quite well, but I’ll post a version here.
We have to remember that the Jailer did not give himself that name, the ones who imprisoned him did according to the message left behind by the Primus. It was revealed in this very patch that the Primus used Domination magic to bind Zovaal to the Maw, and it is heavily implied that this is Zovaal’s first interaction with the magic: being its victim. Therefore Sylvanas would find a way to relate to Zovaal: he was defeated and condemned to a fate he felt he did not deserve (imprisonment) like how she was defeated outside Silvermoon and condemned to a fate she did not feel she deserved (undeath). One thing I can safely bet on in the next patch is Sylvanas will detail how she and Zovaal first met, and how he managed to convince her to join his side. He will likely use this very reasoning to have her understand why he wanted to break free of his chains, and to dismantle the current state of things and get revenge on the ones who wronged him, much like how Arthas had wrong Sylvanas.
Concerning Nathanos, at the end of the pre-SL book, Sylvanas had tasked him with finding a way to kill Bwonsamdi due to the problems he would pose as a death god, so it seems Nathanos actually defied this order by just staying at his home.
And concerning Sylvanas’ willingness to slaughter and permit Zovaal’s enslavement of others for the sake of her own self preservation, you have to remember that this has been a staple of her character since her creation. You can ask Mug’thol, Snarlmane, Blackthorn, the various humans and other creatures she possessed and manipulated in the WC3 campaign, not to mention the many she slaughtered. Varimathras even compared her to being a Dreadlord due to her scheming, she saying that the humans were merely a means to an end for taking down Balnazaar and Detheroc. This ruthlessness never left her and has thrived in SL.
But in the T&E video, Taliesin brings up a point that is very true: he envisions the classic scenario of a lady and her boyfriend, and she’s been told that he’s been cheating on her. She’s in denial and when the boyfriend denies it, she accepts it and carries on, truly wanting to believe everything is okay but has that lingering doubt in her mind. That she well and truly wants to believe that things will be okay, even if evidence keeps coming that it will end badly.
This is a very human and very relatable trait that I am sure a lot of people on this forum have experienced: a desperate clinging of hope to something that may not be true just so you can be happy. It could be the same for Sylvanas: she truly believed at the start that Zovaal intended for the system of death to be freed of its lack of justice, and mixed with her already-established ruthlessness, she would be more than willing to kill thousands of people because it would again be setting them “free” in her eyes. Not to mention that considering she has enslaved people in the past (Mug’thol, Blackthorn, Snarlmane etc), she would be perfectly okay with this. Even if she viewed the enslavement and torment as temporary, it would be worth it to allow freedom in the afterlife. Like how she was enslaved and tormented under Arthas’ control, and was freed later on.
It was only due to Anduin that she began to have second thoughts, and it was Zovaal himself that finally pushed her over the edge. She desperately wanted to believe she was making things right, but she was consumed by her own self preservation.
As for Zovaal creating the Lich King, I have a theory that Zovaal told her that it was the Primus who was mainly to blame for all that. Blizz themselves said that Maldraxxus was based off the blighted lands of the Scourge, and the Maldraxxi have necromancers, liches and abominations at their command like Arthas did. We also know now that the Primus can use Domination magic, and the runes on Zovaal’s body are more than likely the Domination runes that bound him to Torghast. And we also know that it was indeed the Primus who had the designs for Frostmourne and the Helm of Domination. The Jailer may have made them, but it was the Primus who designed them. For what end, we still don’t know.
That’s my take on it, on how Zovaal convinced Sylvanas to join his side up until the end of the raid.