Even when rejecting the money or during his one, dizzing, brief moment of success, Ziggy still manages to come off like a tool. His failures come from far more than abstract ideals he needs to live up to and often simply common sense - he screws up obviously by buying that new jacket, even when explicitly told to lay low. He seems petulant and childlike in the way he throws money away, and in his moment of successful thievery, he's blasting music and cheering at the top of his lungs... probably unwise things to do given the circumstances. Simply put even when you could feel sad or happy for Ziggy my dominant emotion remains wanting to simply punch him in the face (metaphorically, I'm not a violent person).
This really isn't about reason, it's more about emotional reactions - and I just couldn't bring myself to care about this man the way the series and the characters evidently did.
I mean, let's take D'Angelo for a moment. His first appearance is as unflattering as you can get - he's a bit immature, a bit of a clown, and also he casually killed a guy. But over the course of the first season we see a fair bit of character growth and maturity - even if he's easily manipulated by the police early on and later still he's a guy willing to throw a dead hooker in the trash; there's something human in there you can make a connection with.
Ziggy never needed to be as serious as D'Angelo, but I do feel he needed a moment where he just came across as a little more than a pathetic clown, a hint that there was a layer beneath that. I kept expecting the series to show me that, but in the end it never comes - even when he kills Glekas he's turned from a hyper emotional wreck to a gibbering, wimpering emotional wreck. Put Ziggy in any situation and he's always a jerk.