I'm not sure if Zenith checks if you're using a Virtual Machine, but I would always advise people playing private servers to use a virtual machine (since there are have been controversy of data collection from private servers). Anyway, to answer your question:
I would recommend running a VPN and a Virtual Machine. This is how I test my cheats (and play Maplestory private servers on my free time). I'm not really sure what else they could be checking to be honest. I'm assuming that you changed everything correctly.