It would be great if Zorro Trader will have the ability to Directly log into the Trading Server, it would enable using its own latency, and perform much faster than being dependent on indirect access through Third-party software.

Do you mean a colocation situation where Zorro runs at the same location as your broker's trading server?

Which trading server? You'll need a new broker plugin for that particular server. Contact oP group for pricing:
https://zorro-project.com/development.php

All Metatrader Servers.

From what I understand you always need a MT4/5 client to communicate with the MT4/5 server from your broker.

https://www.metatrader4.com/en/brokers

Absolutely not. Metatrader uses an unpublished proprietary protocol, and I doubt that Metaquotes has any plans to publish it. You might be able to pay them millions of dollars to publish it.