Baron Zemo
THE THUNDERBOLTS GAMBIT: When you build your force, characters that possess the Masters of Evil keyword or team ability also possess the Thunderbolts keyword. If your force also includes the Thunderbolts Additional Team Ability you must assign it to them.

Baron Zemo's trait does not say 'this game' and lasts the entire game duration. Characters added later will not benefit from the trait because there is no 'this game' that tells you the trait keeps checking for the trigger.

These 2 figures are from the same set.

Mr. Sinister's trait only checks once. The "this game" is just referring to the duration(to mean the entire game).

Baron Zemo's trait does not reference "this game", because at the time it activates, there is no actual game being played.

I also think that once Sinister dies, all the marauder keywords go away.

Due to the "when a power with a duration is lost" chunk of text. Sinister's power has a duration "this game." I'm not sure if that's the intention, but its how I'd read it.

Both traits happen before "play begins." And both last the entire duration of the game.

As soon as you and your friends start building forces, you are engaging in a game of heroclix. If that was not the case, Zemo's trait would have no effect.