OK, for any in the future who might be searching for an answer to this, and to prevent anyone having this problem, here's the reason: When you open a Real FXCM account you have 2 choices: a Trading Station account or an MT4 account. Both work with Zorro. Since at the time I didn't intend to use MT4, I opened a TS account. TS accounts have multi-session off by default and require all the paper games to turn it on. MT4 accounts have multi-session on by default so no paper games are needed.

HTH. jcl, can the manual say to get an MT4 account even if you don't intend to run MT4?

Now off to go get new account...