Zuko going off on his own to reach wisdom and knowledge of the world, etc. is a common thread in history and in myth. Many leaders, sages, warriors, and hero/heroines go on a self pilgrimage to find themselves, and sample the world--in punishments and joys in order to become enlightened, well rounded, and just a stronger person. It's not something that selfish or tyrannical people do--they rely on a large group to do everything for them, and never search outside themselves. That is an ego-driven leader. Going alone and soul searching is someone that is trying to reach enlightenment and better themselves for others. This is something Buddha did.