"Is it OK to leave ZA off on the main PC as the L/box has a firewall?"
Yes, but hardware and client firewalls have different remits, so don't get confused between the two. Apart from inbound SPI, they are very different.
By "Wanadoo asked me to remove it..." do you mean that you actually uninstalled it? It would have been better to disable it. If you have persisent problems with it as a result of this and can no longer get it to work, then perhaps the removal or reinstallation did not go to plan. I would consider using an alternative, such as the excellent Kerio, but if any part of ZA's engine has been left behind.... it may cause conflict. A thorough cleanup operation may be required.