Admittedly the Mage Knight universe is foreign to me, but why do these "Zombies" have Energy Explosion...?

They're wizard zombies. Undead Atlantean mages.

With low speed and modest combat values it is tempting to write these guys off... they certainly have no way of defending themselves. That bare 16 defense is like being naked in a snowstorm. It's that TA that makes them worth noticing, since having a very actively mobile Master can allow them surprising mobility that basically duplicates having Running Shot or Charge with 10 printed speed while ignoring hindering for movement. The "Withering Touch" is no big deal because they are quickly swatted past it, but the Steal Energy and Exploit Weakness allows them to claw their way back up and potentially score an Outwit use on the way.