The main reason you'd want to play Vegeta in DBFZ is his Assist. This thing is stupid good and it does everything you could ever want or need. His assist will pretty much synergise with anybody, given the sheer, unadulterated versatility it brings to the table. As such, you don't really need to build a team around him.
Vegeta is rock solid no matter where he goes on your team, even here. He has a strong grip on neutral and his mixups after 236L are pretty good when covered by assists. His assist is what prevents most people from playing him point, but it's certainly possible to play him here and succeed.
This is a decent position for Vegeta, but his assist still makes most people put him in anchor. Even with the recent nerfs, his assist is still active for forever, and people still get caught by it.
SSJ Vegeta is arguably the best solo character in the game, as he's pretty much the DBFZ version of Sol Badguy. He can perpetuate offense, has a meterless reversal, and his Ki Blasts are very strong. On top of all this, his assist is incredible for neutral and for combos, but the recent nerfs scared most of the old players off.
You can pretty much pick whoever you want. His assist enables DR extentions for the entire cast AND catches people in neutral. The only thing to keep in mind is that his assist can be superdash/reflect canceled on block. Ideally, the other characters in your team won't have superdashable assists otherwise you could be in trouble.
Tips and Tricks
Fighting SS Vegeta