I wrote my data to a CSV file for further inspection (I can't run ZHistoryEditor.exe under Wine).

For 2020 this starts at StartDate = 20200102.

As you can see there's no gap between the Jan 2 and Jan 3 2020:

200102 23:59:00,1.11715
200103 00:00:00,1.11715

However, once I change StartDate to 20200103, Zorro's screen output becomes:

Warning 047: EUR/USD first bar on 2021-01-03
Test: TestStartBar EUR/USD 2020..2022
Assets AssetsIG
Date: 210103 23:01:00 | Price: 1.22375

I've added 'LookBack = 0;' to my test code, to make sure it was printing the first bar, based on the given StartDate.