»Program fulfills its purpose, then disappears...«

It seems to me that one key to understanding the logic of the Matrix is that everytime a program (=character) has fulfilled its purpose, it is disappears (=is deleted).

That is why we don't see again the key maker after Neo has reached the Architect, for example.

This is also the answer to whether Zion is real or not. That means that Zion is also part of the Matrix (or another Matrix, whatever) and Neo and Trinity are nothing more than programs. Trinity dies once she has completed her mission to lead Neo to the Machine City, and as everything is pre-programmed, the Matrix knew that Neo was going to reach his goal as well.
In fact, it is not Neo that destroys Smith, but the contrary. Smith's purpose was to get rid of Neo. Once he has done this, it is deleted like any other programs.

End of simulation.

Everything is planned before. There is only one way things can happen. Matrix is the elogy of Destiny under fake apperance of free-will (incarnated by the hero Neo and Trinity, which the audience will follow emotionally).

Some characters like the Merovingian, the Architect, Smith or Morpheus are actually telling the audience that things are pre-destined and they know how everything is going to happen - and indeed it does.

The Oracle is the illusion of free-will (=>choice), but how could she forsee events if the future isn't set in advance. She is just saying that we feel free to choose but in the end our choice will be inevitable, as she already knows what it is going to be.

Matrix is a simulation of "our real world" (the Universe). Nothing is real in the Matrix. All, including Zion, was created to make us understand that freedom is an illusion and predetermination prevails however hard we think.

The key to understanding the trilogy is to reboot your Mind and start out fresh again. If you start out initially on the path of Matrix within Matrix and Zion is a simulated world, your mind/theory will end up in a loop won't be able to tie it all together. You will end up speculating too much just to support your theory