I'm sure it's only stated that your results are going to be reported to Duilio, while Zorro's the one trying to push and hurry you towards being in a team. It's more hinted at that Zorro's trying to get you in his good graces, not Duilio having you do these things to get in his.
Brass and someone else might mention working for Duilio is good, but the hints especially when you start to talk to him about it, is supposed to be pointing towards Zorro setting all of this up and Duilio just preventing Zorro from doing too much.
Duilio tells you at the start he's only allowing Zorro to keep you as a toy till he has time to dispose of you.