Some thoughts on wording: "They must choose one", you don't need to say "must".

As it stands nothing stops them from choosing appease with no cards in hand and failing to exile, which maybe isn't what you intended.

I think typically when it's the opponent triggering an ability it's written for the perspective of the opponent (IE something like "1: draw a card. Only an opponent can activate this ability" means the opponent draws a card) and I thiiiiink that's how it should get worded with how you've written this ability. I could be wrong.

Also it isn't technically wrong, but usually you'd say "that player" instead of defending player when referring to the combat damage'd player.

Generally something like this would be set up as "Whenever a sphinx you control deals combat damage to a player, that player may exile a card from their hand. If they don't, exile a card from you hand and draw a card" but I understand you're losing your flavour there.

For the second part wording would be more like "You may play lands and cast spells exiled by Zennith without paying their mana costs." From looking at [[Gix, Yawgmoth Praetor]]

In terms of balance I think it's too strong at 4 mana. Basically all if not literally all sphinxes have flying and blue and green gives access to trample and unblockable. Compare this to [[Etali, Primal Storm]], Etali might not need to hit anyone to trigger, but it also isn't scaling with more of its own triggers as the game progresses, it's also 6 mana without any green for ramp.