So the orbitals we are getting below 0 eV, we should not get above 0 eV. But in my plot, we are getting a $d_{z^2}$ orbital peak both below the Fermi level and above the Fermi level.
This question is not really about the DOS, but about chemical bonding. Grouping $d$ orbitals by symmetry into $t_{2g}$ and $e_g$ is a consequence of a crystal field of octahedral symmetry in crystal field theory. But crystal field theory is not sufficient to describe bonding of the (typically metal) center with its ligands. To answer this question, we need to take the next step from crystal field theory to ligand field theory.
Ligand field theory considers the bonding between the (metal) center and its ligands. To do so, the ligand orbitals (for example, oxygen $p$ orbitals in oxides, or similarly both $p$ and $\pi$ orbitals of ligands such as CO and CN) are also grouped by symmetry. Bonding will be possible between metal and ligand orbitals of matching symmetry. For the simplest example, $e_g$ orbitals can participate in $\sigma$ bonding, and $t_{2g}$ in $\pi$ bonding. When the metal orbitals and the ligand orbitals of matching symmetry hybridize, two sets of molecular orbitals are created. Now, crucially, both of those sets of molecular orbitals have partial contributions from both the "original" metal orbitals and the "original" ligand orbitals.
For example, if normal sigma bonding occurs, then metal $e_g$ orbitals will make partial contributions to both (usually filled) $\sigma$ and (usually empty) $\sigma^*$ molecular orbitals. See for example the second schematic here for a typical molecular orbital diagram. Stronger sigma bonding will change the energies of the molecular orbitals with (partial) $e_g$ character. Pi bonding will change the energies of molecular orbitals with (also partial) $t_{2g}$ character. See for example Figure 6.4.2 here. So the final energies at which contibutions of specific $d$ orbitals show up in the DOS depend not only on the crystal field symmetry, but also on the kind and strength of bonding between the metals and their ligands.
Then, these molecular orbitals are filled with electrons "originating" from both the ligand and the metal, which will together determine where the Fermi level falls in the extended solid.
This is in fact what happens in the DOS and PDOS in the original question. It looks like your $d_{z^2}$ is making partial contributions to filled bonding orbitals below the Fermi level and empty antibonding orbitals above the Fermi level. That is why the $d_{z^2}$ is showing up in two places on the DOS rather than in one place as crystal field theory would have predicted. The key piece of information missing from the PDOS as plotted is whether the states to which the $d$ orbitals are contributing are in fact 100% composed of those $d$ orbitals. Unless the $d$ orbitals are non-bonding, that will not be the case. You can overlay your ligand orbitals on the DOS plot together with the metal ones, and you should see some overlap for most of the orbitals you plotted.
But in short, crystal field theory does not correctly describe the overall system and its DOS and leads to erroneous intuition.