Is it possible to run multiple Zorro versions on multiple MT4 accounts?
I tried it with two demo accounts, but Zorro (Zorro S) seemed to jump back and forth between the two and there is no way to tell Zorro which MT4 account it belongs to.

You can have multiple Zorro S instances, but only one MT4 and one MT4 account on the same PC. For many MT4 instances or many accounts, you'll need to run them on VMs or on different PCs.