The zinc is gone because it sacrifices itself protecting the heat exchanger, nothing to do with how tight the cap is or the use of sealer.
If after many hours the zinc were not partly consumed then you have a problem to correct. The zinc[s] must be consumed to protect.
You do need to check the zinc reduction rate often untill you figure out what the changeout interval will be. Do not just put in a new one and forget about it for too long. Changeout time is when about 1/2-2/3 is gone.
I do use a sealer on the threads of my engine zincs, not a Lehman, or there is leakage, really a slow weep leaving salt crystals, unless I wind it TIGHT which is a good way to jam it or damage the threads. Not much sealer is needed and the interference thread of the taper will cut through the sealer and make metal to metal contact allowing the zinc to do its job.