It could be that the server is down on their end (I think I experienced this at one point myself as well).

One thing I would do to help verify this theory is to attempt to download a year and pair that you KNOW should be there for sure. For example, move all EUR/USD to the temporary folder and then attempt to download EUR/USD for 2012.

I do know it's very particular... you have to have Zorro set on FXCM, have valid login credentials entered (note: I only tried Real FXCM, not Demo)... and have the asset name exactly the way the broker expects (ie EUR/USD with the slash for FXCM)