What happened to the Shinigami Zellogi?
Zellogi was only seen in that one scene and wasn't mentioned after. It is safe to say that he didn't really enter the human world and just checked on Light through one of the many orbs Shinigami use to check on the human world. Such an orb can be seen when Gelus was watching Misa in chapter 27.



From the Wikia article on Human World:


  Shinigami however can travel to the Human World, and watch Humans by using large spherical orbs found throughout the Shinigami Realm...