How to calculate entropy of a combined key
With proper hashing the entopy of $Z$ is roughly the sum of both individual entropies, capped to the strength of the hash-function. For SHA-256 the limit is 256 bits, for SHA-512 it's 512 bits. Since entropy above 256 bits is meaningless, this isn't a practical limitation.

For XOR computing the entropy of $Z$ is tricky and depends on how your keys are distributed. It's probably only as strong as the stronger of the two key, which is clearly worse than the sum. If the keys are correlated it might even fail catastrophically.

=> Use HKDF with a good underlying hash