Open trades are stored in a ".trd" file in the Log folder. If that file is not there, or if the strategy has changed and is not compatible to its predecessor, the trades can not be resumed. You can see this from the error message at startup.

You must not drop the Zorro EA on more than one chart. I don't know what happens when you do that - probably nothing - but you should literally follow the installation description. The EA must be dropped on a single EUR/USD chart. For trading many MT4 systems, you can run several MT4 instances.