The Statue of Zeus is not even the most annoying wonder an enemy AI can have, I think that would be the Apostolic Palace. But just the like the AP (or Chichen Itza) you may want to try taking that city from the opponent sooner than later if logistically feasible.
It's not a very expensive wonder if you have the resource, it's just that like @coanda said the effect is underwhelming especially on high difficulty level (and it might not be worth putting an effort to beat an AI to it). Building a wonder just so a potential enemy doesn't get it is not as strong as something that gives a big bonus to yourself.
It's not a very expensive wonder if you have the resource, it's just that like @coanda said the effect is underwhelming especially on high difficulty level (and it might not be worth putting an effort to beat an AI to it). Building a wonder just so a potential enemy doesn't get it is not as strong as something that gives a big bonus to yourself.