Well, actually, Paul, if you think about it, the letter W isn't exactly pronounced as it's sounded - as your own post shows.
After all, my name is not pronounced Double-You-End-Ee...
Zed. It makes total and complete sense to me and always has... and I know I'll be understood in the vast majority of the English-speaking countries in the world by pronouncing it Zed.
Also, without it we'd lose that wonderfully descriptive name for a folding camp bed: the Zed-Bed.
Wendy