This is often called the _intrinsic_ derivative. (This makes sense, more generally, for the section of any vector bundle at a zero.) It is well-defined at a zero of $X$. Think in local coordinates of $X$ as a map from $\Bbb R^n$ to $\Bbb R^n$, and compute its derivative at $0$ (corresponding to $P$). You can check that you get a well-defined map $T_PM\to T_PM$ precisely because $X(P)=0$.