I kinda get the feeling Z has been delayed. All the Zygarde in the anime stuff seems to indicate the game should have been out this fall. My guess is either the game has been cancelled all together, or perhaps Pokemon Z will be a release title for the Nintendo NX. Pokemon sells systems and Nintendo absolutely needs NX to be a massive hit right out the gate. A enhanced gen six sequel (bursting with new Mega Pokemon of course) would be just what the doctor ordered to sell systems. The anime is of course planned months in advance, if the decision to put Z on the NX wasn't made till late in development it may have been too late to write/animate/voice a new filler story line for the anime, so they did the Zygarde stuff now. I'm not expecting an NX version of Z to be ground breaking, but enhancing it enough to show off some new features would be enough to sell the system to Pokemon players. Something like Crystal, which while being a gen 2 game is only playable on the newer Game Boy Color system. Perhaps a 3Ds version of Z could follow in a few months? If Z is an NX game I don't expect it to be announced until the NX is officially revealed so I would assume next month's reveal is just Volcanion. Of course if it is just the 3Ds last Hoorah so to speak it could be coming next month, though not including it in this month's Nintendo Direct is a weird decision to me.
I dunno. All the Zygarde stuff being shoehorned into the anime without a supporting game has seemed odd to me for a while now. I think we all need to expect the unexpected at this point.