I have an unconventional solution: Only use Hedge = 2 even though you have an NFA plugin.

In this case, you can only enterLong and enterShort trades. But you must never close trades. Instead, you cancel all trades for a given asset once its position is zero, using cancelTrade.

Also probably a good idea to set AutoConfirm =1 in ZorroFix.ini.

(Hopefully there's a better conventional solution....)