Your sscanf() format does not empty substrings, neither does it protect against potential buffer overflows if the target arrays are smaller than the source string.
Here is a solution with strcspn() and a utility function strcpy_n:
#include <string.h>
char *strcpy_n(char *dest, size_t size, const char *src, size_t n) {
    if (size > 0) {
        if (n >= size)
            n = size - 1;
        memcpy(dest, src, n);
        dest[n] = '\0';
    }
    return dest;
}
...
    char source[] = "XXX||ZZZ";
    char word1[10], word2[10], word3[10] = "";
    size_t pos = 0, len;
    len = strcspn(source + pos, "|");
    strcpy_n(word1, sizeof(word1), source + pos, len);
    pos = pos + len + (source[pos + len] == '|');
    len = strcspn(source + pos, "|");
    strcpy_n(word2, sizeof(word2), source + pos, len);
    pos = pos + len + (source[pos + len] == '|');
    len = strcspn(source + pos, "|");
    strcpy_n(word3, sizeof(word3), source + pos, len);
    pos = pos + len + (source[pos + len] == '|');
...
You can wrap the above code into another utility function getfield() to factor more code:
/* returns non zero if there are more fields to parse */
int getfield(char *dest, size_t size, const char *source, size_t *ppos) {
    int has_separator = 0;
    size_t pos = *ppos;
    size_t len = strcspn(source + pos, "|");
    strcpy_n(dest, size, source + pos, len);
    pos += len;
    has_separator = (source[pos] == '|');
    *ppos = pos + has_separator;
    return has_separator;
}
 ...
    char source[] = "XXX||ZZZ";
    char word1[10], word2[10], word3[10];
    size_t pos = 0;
    /* parse the fields, empty and missing fields are set to "" */
    getfield(word1, sizeof(word1), source, &pos);
    getfield(word2, sizeof(word2), source, &pos);
    getfield(word3, sizeof(word3), source, &pos);
...