Of course he doesn't. What he has, what we all have, are the media reports of the break-ins. And this would be from a media predisposed NOT to report news that supports Zimmerman's defense.
To the OP: Of course Z was justified in keeping an eye on M. It was just unwise to do so--as Z found out shortly later. M may not have been the precise kind of thug that Z initially suspected, but he was a thug nonetheless, a violent thug. Thugs don't like eyes being kept on them