Is the special lieutenant order lost when a model with executive order appears on the table or does it go over to the new lieutenant, and why? If the order is lost, then what is the use of this rule, for example for Van Zant?
This is not an order that's attached to the model that is the Lieutenant, but to the role that is the Lieutenant. This means that if Lieutenant is transferred (primarily Executive Order or Chain of Command), the order is not lost as it remains unchanged. The Executive Order model can spend the Lieutenant Order on the same turn they gain Lieutenantship, provided the order has not already been spent.