If EUR/JPY is not in your .fac I guess Zorro can't do anything else but to skip trades with this asset when using OptimalF as a factor to create margins. If the asset/algo is not found its OptimalF will be regarded as 0 I think.
Next question is why EUR/JPY is missing, don't you have the historical prices (EURJPY_X.bar files in your history folder)?
Here is my .fac, interesting to see slightly differences in the OptimalFs, apparently we use different historical prices:
EUR/JPY .999 6.12 32/12 43.0
EUR/JPY:L .999 8.29 20/5 25.6
EUR/JPY:S .999 4.55 12/7 17.4
EUR/USD .651 2.82 32/17 22.4
EUR/USD:L .999 3.64 9/6 7.4
EUR/USD:S .555 2.58 23/11 14.9
GBP/USD .414 1.73 28/19 12.2
GBP/USD:L .000 0.99 11/11 -0.1
GBP/USD:S .579 2.67 17/8 12.4
USD/CAD .000 0.55 17/22 -5.9
USD/CAD:L .000 0.59 14/15 -3.9
USD/CAD:S .000 0.42 3/7 -2.0
USD/CHF .999 1.99 26/21 11.6
USD/CHF:L .999 1.80 18/9 6.8
USD/CHF:S .999 2.49 8/12 4.8
USD/JPY .875 2.87 28/20 16.6
USD/JPY:L .999 4.44 24/12 18.9
USD/JPY:S .000 0.33 4/8 -2.3
Ah ... I just saw the content of your .par file:
EUR/JPY 10 40 100=> 0.000
EUR/JPY could not be optimized too, seems that you really miss its history.