The composition of the initial bar. You start normally not at a bar boundary, but in the middle of a bar. Thus the bar will partially consist of historic prices from the server, partially of new prices received later. There can be a gap between the latest historic prices and the current price, especially when you start trading while the server is offline or not up to date, as on weekends. This gap makes the bar different to the same bar when Zorro were not restarted.

Aside from that, if your script does not use phantom trades or store other trade relevant information in internal variables, you can normally restart Zorro without affecting the performance.

The initial bar problem is less relevant with the MT4 interface because the MT4 server is normally always online. But there's another problem: MT4 stores not enough price data for long lookback periods such as used by the Z systems. We have not found a noticeable performance difference, but it is possible, as the MT4 history size is slightly below the recommended periods for the used filters.