Both the Sword Hero and Shield Hero were wary of Zanna's chaos element.
After all, no matter how powerful they were, they couldn't use elements that didn't suit them. However, that shortcoming wasn't even considered a shortcoming since the power of a hero didn't lay in their elemental affinities but in their legendary artifact and hero authority.
The Sword Hero was confident that with his cut authority, he could inflict damage to the primordial spirit of chaos who could rival the demon king. But even the Sword Hero wasn't confident that he could withstand the chaotic element of Zanna's chaos magic.
Because of that, the Sword Hero brought the Shield Hero with him.
With the presence of the Shield Hero, the Sword Hero and the Shield Hero could entangle with Zanna and stall for time until the rest of the heroes were done with dealing the problems on their side.