Why Victor must not know which tunnel Peggy chooses?
The description of this "kid zero knowledge" example follows the strucure of how interactive proofs that are 
zero-knowledge usually work: 


The prover sends a commitment (walks into one of the two sides)
The verifier challenges the prover (tosses the coin to decide which side the prover should walk out)
The prover gives a response (walks out the side the verifier has told him). 


An essential part of interactive proofs that are zero-knowledge which seems to be the source of your misunderstanding is the 
zero-knowledge property. This means (informally) that a verifier can efficiently simulate a transcript of a proof without having 
access to the prover (and thus only knows the statement to be proven but not the information the prover has) and such
 a transcript cannot be distinguished from a real transcript from a real proof run.

Note that this fact that an interactive proof is efficiently simulatable without having access to the prover, nicely captures the fact that the proof can not leak any information beyond the validity of the statement to be proven. In a real interaction, the verifier can be convinced that the prover knows what he wants to prove, but the transcript can not leak any further information since it can be efficiently simulated. So this idea of indistinguishability of real and simulated transcripts is a nice way of formally modeling the zero-knowledge property.

So now lets look at your example:


  Let's try a much simpler experiment. Victor and Peggy walk together down the primary tunnel until the fork. Peggy goes alone in one side and come out the other. Victor did not hear the secret to open the door, but he is now convinced that she knows it. Peggy presented a proof of her knowledge without Victor learning anything apart the fact that Peggy has this knowledge.


In this example you CAN NOT simulate such a protocol without having access to the prover. You will never succeed in 
producing such a transcript without having access to the party knowing the secret (PIN). 

However, in the original example you can just throw away all the runs of the protocol where the verifier wants the 
prover to come out the other tunnel (where the coin toss does not yield the same choice as Peggies choice for the tunnel to walk in) and only keep those where Victors coin toss says that Peggy has to come out the same tunnel she went in 
(and thus does not have to know the secret).

Your other approaches


  Victor sends a plaintext to Peggy and ask her to send it back signed with her secret key. He verifies the result with Peggy's public key. Proof that Peggy has the private key.


As in your modified Alibaba example, you cannot simulate a transcript without having access to the prover (who knows the signing key - assuming that 
you work with a secure signature scheme).


  Victor encrypts a piece of data with Peggy's public key and asks Peggy to send back the hash of the data. If the hash match, he has a proof that Peggy knows the private key.


This protocol is efficiently simulatable, but you would have to prove all properties required by zero-knowledge proofs to hold that you can show that it is an interactive proof that is also zero-knowledge.