If I remember some of the theads recently, you may not target Esther if playing the set-aside during prep or discard phase, but may do so when played as an enhancement during battle.
See
this rulings conversation between 4 Elders where the end result seems to be that you must target
your own cards with set-asides played outside of battle, but you
can target the opposite alignment.
Also, from the definition of the Set-Aside ability from the new REG:
A set-aside ability must target a card you own and control unless the set-aside card is either territory class or played in battle and gives no beneficial effect to the card set aside or the player that plays the set-aside card.
All rules and rulings state that it is indeed legal to set-aside your own Esther with Zeresh Advises Haman, especially as the Elder discussion involved a card like Two Possessed being played outside of battle, and the new definition is surprisingly (and refreshingly) clear.
