While your set is a creative stallbreaker a huge problem with it is that it is that it's much easier to revenge kill. After a bit of chip Calyrex SR can simply revenge kill you regardless of how many boosts you have up. 252 SpA Choice Specs Adaptability Calyrex-Shadow Astral Barrage vs. 252 HP / 252 SpD Zamazenta-Crowned: 284-336 (73.1 - 86.5%) -- guaranteed 2HKO. Additionally since you are faster than most walls there's nothing stopping opponents from just stealing your boost or Knocking Off your drive and forcing you to rely on moves with shaky accuarcy. Calyrex on the other hand is slower than most Spectral Thief users and having Safety Goggles removed doesn't make the set any less threatening. Your Zamzenta set wins in the long Game due to it's higher pp and typing I'll give that, but on many offensive teams you want to win the game as quickly as possibe and that Calyrex set outclasses Zamzenta in that regard.
Although I mentioned Precipice Blades for the 120 base Ground damage example since it is your first slash, this was more in regards to the alternative moveset slash you had with Multi-Attack. Zamazenta allows it to Attack with its Multi-Attack before an opponent can use Knock Off, (I.e. a Steel that can stomach the rest of Calyrex’s moves).
How do you handle Impostor when your other slashed version of the set doesn’t pack Spore + Safety Goggles? If they are Scarf they could hit you harder, and first to force you out; and if they are Eviolite, they can speed tie you and are more durable. You could argue Strength Sap, but that is the final alternative, which means it looks like you would prefer Photon Geyser over that.
Calyrex still attracts Spectral Thief because it is weak to it, and it can take Knock Off at the same effectiveness. Being weak attracts both, while Zamazenta doesn’t necessarily attract those utility moves as much, by its unpredictability, and doesn’t need to setup thanks to Hustle, bc when you see that Calyrex isn’t Choice Band, you likely know it will use a set-up move.
Ultimately, you can say it can underspeed Spectral Thief, but oftentimes, walls are slower than even naturally slow set-up, Calyrex-Ice needs to take a turn to set-up, and takes Stealth Rock, which reduces its natural bulk, while Zamazenta-C is 4x resistant.
Let’s compare apples to apples, Calyrex’s 3rd move is the Multi-Attack sets, and 4th move is Photon Geyser vs Sunsteel Strike.
I see what Calyrex is doing, but it requires a set-up turn to function, as it’s too slow otherwise, is weak to stealth rock, has a much weaker Steel coverage move, and Photon Geyser isn’t really super effective against anything relevant beyond Eternatus. While Sunsteel covers more.
To your point on Calyrex-Shadow being a threat: not if it comes in on Coil, as Zamazenta-C can KO Calyrex-Shadow after chip, while Calyrex-Ice is actually afraid of Calyrex-Shadow bc it is weak to Ghost.
+1 252 Atk Hustle Zamazenta-Crowned Sunsteel Strike vs. 252 HP / 252 Def Calyrex-Shadow: 334-394 (82.6 - 97.5%) -- 68.8% chance to OHKO after Stealth Rock
Since it 4x resists Stealth Rock, it is much harder to chip Zamazenta-Crowned, than it is Calyrex-Shadow, so the chip on Zama-C is less realistic. Calyrex-S can only force it out if Zamazenta hasn’t Coiled, or hit it on the switch in for a 2HKO.