Uuuhm... I think we have a basic problem on how ZA firewall works.
What you seem to have tuned up is the application control (program logs). This is to regulate activities of your programs.
While the Inbound (= from the internet to the PC) cannot be controlled by ZA on your setup since all the unsolicited calls are already filtered out by the router that you have in front of your PC (and in front of ZA).
Btw, your setup is not reccomended unless you know what you are doing. A minor mistake on denying access to programs can create instability on the system and troubleshooting will be not easy since it may not be clearly linked back to a change in ZA settings.
Are we getting there?