Responses
I found it! His first appearance is at chapter 30, when Rimuru just build his country after the fight with Orc Disaster. Though, it's just an appearance of a beetle and a bee, so non-novel readers wouldn't know about it. I think the name Zegion and Apito first appeared in slime diaries. I'm sure there's a chapter where they get bullied by Milim, I think?
When did Zegion appeared in the manga ? I don't remember it at all... ;(