NAS100/SPX500 trades not closed by Z12 (MT4)

I check in on Zorro roughly every week to make sure the trades shown by my broker match those shown on the Zorro status page and I've found ~3-5 times that NAS100 and SPX500 trades are shown as open by my broker but aren't present on the Zorro status page.

Are there any known issues that might cause this?

Sure, many, like NFA compliance, FIFO compliance, connection issues. Look in the logs and find out. I would not trade a configuration with unclear issues.