Wrong rollovers were used for training Z1 and Z2, so the problem has nothing to do with your account. You can still trade them, but the profits are about 15% lower than they should be, and the losses accordingly 15% worse.

All strategies use stop losses of course, regardless of the NFA rules.

The performance report simulates a micro lot account by default. Do not go below the displayed capital requirement. The default values are normally the best, so use a lower margin only when you really don't have enough capital. Run a test with any margin setting so that you see how much capital you'll need.

If you have access to CFDs, you should trade them with Z1/Z2 even with a low margin on a micro lot account. They improve the performance due to their lower correlation to currencies.

Backtest results depend on what you test. Different accounts, spreads, test periods, margin settings etc. will always give different results. So it's highly unlikely that you get precisely the same results as in the tests used in the manual.