Ah, just spotted v2.02.2, https://zorro-project.com/manual/en/combo.htm
However, this is not really the functionality I was looking (or hoping) for as it still requires the script to manage all legs independently and does not optimize trade statistics for such combos (I assume). I rather thought of Zorro internally managing multiple legs as one artificial trade/contract manageable by the "legacy" functions, such as contract(COMBO*)
There once was an item on the todo list "Artificial assets from a linear combination of real assets, for basket trading or multi-asset arbitrage." which is no longer there... is this ultimately off the list?