Zero Stack headset is shifting?
 

So i just installed a zero stack headset on my frame but the steerer tube seems to be shifting a lot within, any reasons why this is happening?

Sure you've got the correct amount of spacers under the stem and the headset tension is set properly?

It sounds like the headset preload isn't adequate. Is the top of your steerer a couple of mm below the top of your stem or the top of any top spacer? If the steerer is flush, you can't make the headset adjustment. Also, be sure the stem's steerer clamp bolts are loose before you snug down the top cap headset adjustment bolt.

missing the split compression wedge

+1 Very well could be that.

does the split compression wedge go on top of the bearing?

mine kinda looks like this http://i.ebayimg.com/00/$(KGrHqZ,!k4...3e6Lg~~_35.JPG

Yes. Did you install the headset yourself? There's usually install instructions that come with the headset.

it didnt come with any instructions

Did you get this sorted out?

Are you familiar with the steps to adjust a threadless headset? If not, look on the Park Tools website or any other of dozens of "how to" websites for headset adjustement or headset preload.

Also, if you post all the parts of your headset placed in the order you are trying to assemble them in, someone might see a gotcha somewhere.