We have created and sold hundreds of fused glass pendants with glued-on bails and this is what we have found. E6000 and 2-part epoxies both work well, but there are some steps you can take to make them hold better. Regarding Zap-a-Gap, let me say that I love it, use it all the time, and it has many applications, but I would not use any CA glue for attaching bails to fused glass pendants, which tend to be fairly heavy. It can become brittle and the bail can pop off fairly easily.
For both the E6000 and the 2-part epoxies, clean both pieces to be glued. We use alcohol or acetone, wipe clean, and allow the pieces to dry thoroughly. Rough up both surfaces to be glued. We use a Dremel with a diamond bit. For the E6000, apply a little glue to the bail and then press it hard onto the pendant. You want a (very) tiny bit of glue to show around the edges. If it is possible to tape or clamp the piece, do so. At least, lay it with the pendant on top so that the weight presses against the bail. Despite the fact that the directions say that it dries in a few hours, don't touch it for 24 hours.
For 2-part epoxy, Don't use the 5-minute kinds. Make sure to use equal amounts from both parts. Some people use a scale to get them exact. A lot of people make the mistake of not mixing it thoroughly enough. 10 - 15 seconds won't do it. The epoxy goes through several stages as it's being mixed where it gets cloudy, then it gets bubbly, then it gets clear again. Make sure you mix it until it gets back to the clear stage - at least a minute or more. Then follow the same directions as for the E6000.
We've had several pendants or earrings that we glued this way that we later tried getting apart and had a heck of a time trying to do it.