Cz/E257 is the reference in EGI caps, this is why it is not included in the template positions in Brainstorm. You do not have data recorded at this site, I'm not sure that adding it is a good thing.
The Z axis depends on where the NAS/LPA/RPA points are placed. The SCS/CTF coordinates system used in Brainstorm does not define the Z axis as going through the vertex. You should not try to infer anything from the position of the intersection of the Z axis with the head surface.
https://neuroimage.usc.edu/brainstorm/CoordinateSystems