@Darkness - Thanks for that little tip
@Piotry - Oh that's actually a good idea. That'd be a neat little thing to add.
Updates
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1. Zero can now scroll through Sub-Weapons.
2. Zero is able to gather Heart Tanks and Sub tanks. Heart tanks increase his and X's life, which is bad right now unless I'm able to set Zero's life to X's at default.
3. Zero is able to open Capsules AND retrieve them like X. The only 2 issues is that his palette quickly turns into X's and it tries to load up a victory animation that Zero does not have.
4. Zero's able to pick-up free lives now.
Bugs
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1. Zero's life does not get saved to memory when you swap him

2. Zero's sprites turn into X's in the Ride Armor.
3. Body flash areas are wrong on Zero in capsule.
4. His palette turns into X's when in capsule.
5. Zero has no victory stance or anyway to load the sprite yet.
---> Edit: Found where it's loading the sprite but it's not loading it completely. My guess is I need to find animation data, that's probably why it's not loading it correctly. I believe that if it was loading a full animation, Zero's sprites would be loading all scattered for a victory. Instead, it's only loading a very small few pixels as 1 block so something's up.