During normal running, the current will be controlled by C1 and R1, a voltage drop across R2 will do nothing much.
A zener across the led will either take all the current or none at all depending on the relative voltages of the zener and led. By defining the voltage across R2 and led in series, the maximum current in the led will be defined.. The zener will not conduct in its zener direction under normal running, it will only act as a diode would.
The idea of a zener is to limit the current at turn on when C1 can be considered a short circuit for the first part of the cycle.
220v has peak voltage of 311V
The current will be limited to 141mA by R1, this is high but may be OK for half a cycle.
C! will have a reactance of 14k4Ω at 50Hz.
The reactance of C! and R1 will be 14k6Ω so the running current will be 15mA but only half of this will go through the led.
If you use a 10V zener across R2 and led in series, then the current through the led will not exceed 32mA which the led should easily stand for part of a cycle.
A 0.5W zener should be all right.
R1 will dissipate about 0.5W.
You should check these calculations.