I disliked ZA for the same reasons, many things online didn't work when it was active, including the ability of people connection to my pc, when i was the host to a game. As soon as i would shut it down, everything was back to normal.
I to be honest, that happened with ZA from versions 1.2.x to 2.6.x. Recently, I resorted to Norton's Personal Firewall 2002, which is not free of course :(, but it doesn't behave as annoyingly as ZA.