During Zaeed’s loyalty mission The Price of Revenge, you will have the choice to help factory workers escape, or you can ignore this, and chase Vido.
Choice: Save the workers or chase Vido
During Zaeed’s loyalty mission The Price of Revenge, just after the Southern Gatehouse, you’ll have to decide whether to save the facility, or chase Vido.
Save the workers
If you decide to save the facility, and the workers inside it, Vido will escape, at the end of it, Zaeed will turn on you, and as the scene plays out, he’ll get caught under some debris. Here you’ll have three more choices, two of them resulting in losing Zaeeds loyalty, and one “You brought this on yourself” resulting in gaining his loyalty, to get his though, you’ll need a sufficient amount of Paragon points, thus giving him a better chance of surviving the Suicide Mission.
Chasing after Vido allows Zaeed to carry on with his vengeance, and take out Vido, naturally, making him happy, and gaining his loyalty.
Secret choice: Vido escapes, Zaeed dies
If you wait until after the Suicide Mission, If you save the workers, allowing Vido to escape, you’ll get an extra dialogue choice “I’m leaving you here”, at the mission end, this will result in Zaeed’s death.