Did you see this in the Z system documentation?
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Since US ETFs are not available anymore to European traders due to PRIIP regulation, an alternative asset list AssetsZ9E has been included that contains only ETFs that can be traded in Europe. The assets are similar, but not identical to their US counterparts, so the profit is smaller than with US ETFs. The asset list can be set up in the Z.ini or Z9.ini file.

And then this one:
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Z8, Z9, Z10 can be used with any portfolio of stocks and ETFs. The other systems are optimized for a particular set of assets; you can not add, but you can exclude assets from trading.

https://zorro-project.com/manual/en/zsystems.htm

I would check out that European asset list, AssetsZ9E.