How close it PIVX to implementing zero knowledge protocol? Many have tried.

This is a good point. It is not a super easy thing to implement. There have been a few failed attempts in the past. Furthermore, the only successful attempt that I know of (ZCoin) had a bug that was exploited.
Although it was quickly fixed, the exploiter made off with approximately $776,900 worth of ZCoins. "A total of 388450 XZC were created from this bug." ZCoin was worth around $2 at the time of the exploit.
https://zcoin.io/language/en/zcoins-zerocoin-bug-explained-in-detail/