I’ve probably read through the manual xx times by now.
Thanks to a tip from user Scatters,
I might now be among the 100% who have managed to get it working.

I tried it using Zorro-S—which is located in a different directory—and
surprise, surprise: it works!

To recap:
1. I only opened a demo account with the broker.
2. With
Zorro-S set to "REAL" account, it works (see screenshot on the left).
3.
It doesn’t work with Zorro-Free—neither with the "
REAL" setting nor with "
Demo" (see screenshots 2 and 3). There’s really nothing else you can configure in the Free version.
I guess the Free version just doesn’t like me.