Zmuda is just having fun by being sarcastic / facetious when he says, "I know for a fact that he (Andy) faked his death and will be returning." He doesn't really believe this. He is just carrying on the Andy Kaufman tradition and legacy.

GPS:  How come Walt doesn't wonder how Jesse got hold of the truck's GPS.  My only answer is that Walt would think that Jesse paid off the rental company to get the GPS.

It seemed like a "good" terrorist organization, doing things for the good - no?