The alerts are to found in the ZA logs of the Log Viewer, if you do not remember the exact alerts. The deatils are in the lower pane.

Trust levels is well described in the ZA Help (open the ZA and press the F1 key).
Look for "Trust Levels" in the Index and select Display.

Fax is correct and the Advanced Program Control & Application Interaction Control should not be confused with the previous statements of...

""This program may use other programs to access the Internet"

Allows the selected program to use other programs to access the Internet.
I would imaging this simplies a lot of "user"control for the inter-process realtionshoips needed for internet control (such as ping.exe for example).

"Allow Application Interaction"

Allows the selected program to use OpenProcess and CreateProcess functions on your computer. I generally apply this myself to the individual antivirus scanner applications (for less restrictions) and for certain window application (ctfmon.exe for example) and for the main browser ( I let my browser use certain other applications such the wmp, adobe reader, irfanview, window components, etc).

Nor with the fact that I myself is disuse the Defense Advisor and prefer my own custom configurations.