Until now I assumed that *.par files show PRR - Zorro's default objective function - for the selected parameter combination.

EUR/CHF: 5.50 15.00=> 1.55

However, this number is significantly different from the PRR calculated during the training run - 1.45.

So, what is this number that gets into the *.par file?

It is based on, but not identical to the PRR. You can see the formula in the manual under "objective".

The question is NOT about the formula for Zorro's default objective function.

Please have a look at the screenshot:

Selected p[20] = 15 => 1.45

EUR/CHF: 5.50 15.00=> 1.55


What/why is the difference?

Because the optimal parameter value is not at a particular step, but at a point of the parameter surface that can lie between steps.

https://manual.zorro-project.com/optimize.htm

Since where the conversation in heading is quite clear, may I suggest that either Petra or Spirit provide an answer?