Query to retain latest non-zero value

Question

I'm using SQL Server 2016 and have a table with the following data:

PlaySeq	TransMaxValue
1	250
2	500
3	0
4	400
5	0
6	300
7	500
8	0
9	0

I'm trying to construct a query that adds a column TransMaxValueContd to that dataset.
That TransMaxValueContd column should retain the last non-zero value encountered in column TransMaxValue.
Ordering is done by PlaySeq.

My expected result from the query is this:

PlaySeq	TransMaxValue	TransMaxValueContd
1	250	250
2	500	500
3	0	500
4	400	400
5	0	400
6	300	300
7	500	500
8	0	500
9	0	500

I've been using windowing functions like LAST_VALUE() and LAG(), but can't seem to get the results right.
Maybe I'm overcomplicating it.
Does anyone know how to do this?

ps: I'm just looking for the query. No need to modify the source table.

Edit: Added a SQLFiddle example with a failed attempt, which is:

SELECT a.PlaySeq, 
       a.TransMaxValue,
       IIF(ISNULL(LAG(a.TransMaxValue,1) OVER (ORDER BY a.PlaySeq), a.TransMaxValue) = a.TransMaxValue, a.TransMaxValue, LAG(a.TransMaxValue,1) OVER (ORDER BY a.PlaySeq)) AS TransMaxValueContd
FROM   myTable AS a;

Edit: Thank you for all the answers, which provided new useful insights!
I ended up using this, inspired by the answer from SteveC.

SELECT  a.PlaySeq, 
        a.TransMaxValue,
        (SELECT     TOP 1 x.TransMaxValue 
         FROM       myTable AS x 
         WHERE      x.PlaySeq <= a.PlaySeq 
         AND        x.TransMaxValue != 0 
         ORDER BY   x.PlaySeq DESC) AS TransMaxValueContd
FROM    myTable AS a;

Answer 1

A simple way could use OUTER APPLY and SELECT TOP(1). Something like this

select m.PlaySeq, m.[TransMaxValue],
       case when m.[TransMaxValue]=0 
            then oa.TransMaxValue 
            else m.TransMaxValue end TransMaxValueContd
from myTable m
     outer apply (select top(1) mm.[TransMaxValue]
                  from myTable mm
                  where m.PlaySeq>mm.PlaySeq
                        and mm.[TransMaxValue]>0
                  order by mm.PlaySeq desc) oa;

PlaySeq TransMaxValue   TransMaxValueContd
1       250             250
2       500             500
3       0               500
4       400             400
5       0               400
6       300             300
7       500             500
8       0               500
9       0               500