Why is duplicate text being rendered onto the Z buffer of a different texture when using D3DXFont::DrawText?

Answer 1

The Z Buffer state is persistent.

For example,

SetDepthStencilSurface(X)
SetRenderTarget(A)
Draw()
SetRenderTarget(B)
Draw()

Both Draw calls will use the same depth buffer.

The DrawText is not changing the depth buffer that you have set. It assumes you meant to do what you did.