You are worrying without any reason! - the 500mW is a function of the package, NOT the actual zener. All the zeners in the range will have a rating of 500mW (as they use the same package), the restrictions imposed by the zener voltage may, or may not, allow you to reach that figure - on the higher voltages it may be possible to exceed it!.
Don't worry about it - with anything like this, work out the dissipation from the voltage and current, and make sure it's BELOW the maximum dissipation, preferably well below!.