Why would I use ZenDCA instead or just setting up recurring buys on the exchange?

It's a valid question and the main reason is you will save on fees when a buy order is placed on your behalf on ZenDCA. You'd pay higher fees on the exchange mobile apps and not get as much crypto as you should, read more here.

You'll have better insights into your schedule performance and all details on ZenDCA, as opposed to the exchange. They won't show your average cost for the crypto currency, performance stats and everything else we offer on the dashboard. 

Additionally, you'll be able to trade on multiple exchanges on one place and have all the statistics on a consolidated dashboard.

So between saving on fees, better performance insights and a user friendly dashboard, ZenDCA is your true path to Zen.