The strange .csv file names are indeed wrong - they are intermediate files from the oversampling cycles. You can just ignore them. We'll fix that in the next Zorro update.

Zorro has no influence on PIPCost, it comes from your broker. You must log in with a selected asset for updating its line in Assets.dta to your broker's PIP cost. Until then it contains just the default values. For updating all assets in Assets.dta, use the Download script.