If you link a campaign to a zone, all the banners in that campaign that have the same dimensions as the zone will automatically be linked to the zone. If you add a new banner of those same dimensions to the campaign later, it will automatically be linked to the zone as well. As such, linking campaigns to zones is the most efficient, and I would recommend always doing that. No need to link the banners too.
However, sometimes you do not want each banner in that campaign linked to a zone, just one or a few specific ones. In that case, you shouldn't link the entire campaign, but just the banners you actually need, to that zone.
When a 500 error occurs, Apache (or whatever webserver software you use) will log the cause of that error. I recommend reviewing the error log or discussing this with your hosting provider or sysadmin. Once the cause of the error has been fixed, you should be good to go again.