Have tested Wake on LAN with ZA FREE and All paid versions.
ZA Free 9.2.076.000
All ZA Paid versions 9.3.037.000
Wake on LAN functionality works fine ZoneAlarm does not block it with default settings. If you changed any of your ZA setting then that could be the cause of the issue.
Testing environment XP SP3 all critical and non-critical Microsoft updates applied to the PC.
Using a WOL feature in a router firmware to wake PC every 60 seconds.
PC placed in Standby, and Hibernate will power up when wol signal is received with no issue at all.
Its possible the wol method your using is not working properly or has a bug and thus not waking properly with ZA running. Its not a ZA bug.