Spin is not described by a three-component vector, it's described by a two-component spinor. The correspondence between the two is subtle and nonintuitive; generally, it's a bad idea to try to think of quantum spin as vectorial at all.
You've found the sharpest reason why: a spin with definite $z$ component doesn't have a definite $x$ component. There's an intuitive way to see this, but to do it, we have to temporarily leave quantum mechanics and do some high school geometry.
Consider vectors in the plane. We can decompose them into $x$ and $y$ components; call the $x$ and $y$ unit vectors $|x \rangle$ and $|y \rangle$. If we know that a vector is pointing along the $|x \rangle$ direction, we know for sure that it has zero component along the $|y \rangle$ direction.
We can also consider the rotated basis
$$|+\rangle = \frac{|x\rangle + |y\rangle}{\sqrt{2}}, \quad |-\rangle = \frac{|x\rangle - |y\rangle}{\sqrt{2}}.$$
Again, if we know that a vector is along the $|+\rangle$ direction, it has zero component along the $|-\rangle$ direction. However, a $|+\rangle$ vector is not definitely either $|x \rangle$ or $|y\rangle$, it's a superposition of both. The questions "$|x\rangle$ or $|y\rangle$" and "$|+\rangle$ or $|-\rangle"$ do not simultaneously have definite answers, because the bases are incompatible. This is an example of the uncertainty principle, as I explain further here.
Now let's return to quantum mechanics. All of the weirdness of quantum mechanics comes from the fact that bases which intuitively look compatible (thinking on a naive classical level) are not compatible in the abstract Hilbert space.
The state space of a spin 1/2 particle is two-dimensional, so we can keep working with the plane. Since the spin is 1/2, all angles are shrunk by a factor of two. For example, the states $|z, +\rangle$ and $|z, -\rangle$ are 180 degrees apart in real space, so they're only 90 degrees apart in spinor space. That means they form an orthogonal basis just like $|x \rangle$ and $|y \rangle$ did above.
Now, the states $|z, + \rangle$ and $|x, + \rangle$ are 90 degrees apart in real space, so they're 45 degrees apart in spinor space. That is, we have the correspondence
$$(|z, + \rangle, |z, -\rangle) \leftrightarrow (|x\rangle, |y \rangle), \quad (|x, + \rangle, |x, -\rangle) \leftrightarrow (|+\rangle, |- \rangle)$$
Translating our conclusions from the plane, if we know a vector is $|x, +\rangle$, it is a superposition (in fact an equal superposition) of both $|z, + \rangle$ and $|z, -\rangle$. And the questions "$|z, + \rangle$ or $|z, - \rangle$" and "$|x, + \rangle$ or $|x, - \rangle$" do not have simultaneously have definite answers.
So, the answer to your question doesn't require any high-powered math: a spin along the $x$ axis has uncertain $z$ component for exactly the same reason that traveling northeast is a combination of both north and east. The tricky part is seeing that these two properties are one and the same, which results from the "angle halving" of spin 1/2.