I ran 2 tests:

Test 1:
- AAPL.t6 file exists.
- Trade Download
- Change to EOD
- Enter AAPL
- Click Download
Result: Download runs and AAPL.t6 modified date is updated

Test 2:
- Delete AAPL.t6
- Trade Download
- Change to EOD
- Enter AAPL
- Click Download
Result: "!Subscribe AAPL" and "AAPL history up to date" print in the message window. No AAPL.t6 file is created.

Clarification: My script tries to open the .t6 file, so that was the source of the file-not-found error. The actual Zorro problem is not creating the .t6 file...

Thanks.