I found that this message comes up if the local area connection to the modem is powered up by the start menu. If the modem power is off on startup, the Zonealarm Security Suite operated correctly. Not only that, Windows loads heaps faster. I turn on the power to the monitor after all startup programs are loaded. No problems.
The worrying thing is that ZASS says fully protected while UI is initializing. Can't be both right one would think.