Creating a miscellaneous application for "0" has the effect that if some user makes a new call to the extension 0 (for example by dialing 0 and pressing Send on a SIP phone), the user is routed to the destination configured in that misc. application entry (it does not mean that when a user presses 0 while on an active call they would get routed there).
Pressing 0 during an active call sends the DTMF digit 0 to the other "side" of the call. If the other side is a person on a phone, the person would hear the digit. If the other side is an application (such as Voicemail or Directory), the application would receive the digit. It's up to the application to interpret the digit in some way (or ignore it).
In the case of the Directory application, the digit 0 is considered invalid input and for that reason the call gets routed to the configured invalid destination.