Is there any difference when using the MT4 bridge if the message on the MT4 chart where the Zorro EA is attached says "Zorro Connected" vs "Controlled by Zorro"?

"Controlled by Zorro" is the start message and "Connected" is displayed when a Zorro logs in.

Would it be normal to have the "Controlled by Zorro" message while Zorro is connected? That was the case with my MT4 platform, and Zorro was placing trades.

Also, I noticed the message changed from "Connected" to "Controlled by" when I changed the time frame of the chart the EA is attached to. So I'm assuming the time frame should not be changed, is this correct?

Yes. You must disconnect Zorro when you close or reset the chart window, as this will also close or reset the EA. Changing the time frame or the asset resets the chart.