After creating a new scoreboard objective and setting its display mode to the sidebar, setting a player's score to zero will not immediately show them on the sidebar. Their score must be changed before they will be displayed. They will, however, be displayed, if their score is initialized to a number other than zero.
If the player has their score set to zero before the display is set to sidebar, they will be displayed immediately upon the sidebar command. Note that for this to work, the objective must not already be displayed in the sidebar.
A test world is attached to ease reproduction.