they are very insisting in you binding your Z visa to their company

All Z visas are bound to the employer.

I see this not as a proof of honesty but as a way for them to ensure that they have the power
to screw you over if you ever decide to leave.

The contract you signed with them allows you to leave with due notice, a process that can be enforced by local authorities.

if you have a Z visa they can cancel it with a simple call to the PSB, ensuring that you can't easily find another
employer in China, hell they can even blacklist you.

The cancellation process is not that simple, if contested they must provide documentation. It is only 'easy' to find another legal employer in China if you have honored the contract and initiate your search several months prior to the contract termination date.

What you are describing is the normal employment process in China, for good and bad employers. The key is to select a good employer. The employer you selected is notorious. For details on how to select a reasonable employer, read other posts on this and similar FT sites. Don't blame the devil and his minions (recruiters/agencies) for your lack of preparation and research.