If I have a ticket to Zone 2 whilst travelling southbound on the
Bedford-Brighton service, am I able to alight at Farringdon/City
Thameslink/Blackfriars/London Bridge, or must I alight at Kings Cross
Thameslink and catch the underground from there?

I know that 'London Terminals' tickets from the north are only valid as far
as Kings Cross (penalty fares apply if alighting at Farringdon) but I'm
unsure what the situation is when you have a specific Zone as the
destination on your ticket.