I changed the Zorro.mq4 script as you suggested. NAS100 seems to be called NQ100 with the broker I am using, and I also put this conversion into the EA script.
When I click "Trade", Zorro starts collecting the initial data, until it says "Error 053: NAS100 prices unavailable" (nothing about the other assets, though). After that, the program hangs for quite a while (no progress bar, Windows grays out the window), until the last message appears: "Read Z12.fac Z12.par ........................" and the program seems to crash (Windows keeps showing the "blue donut" cursor and the window remains completely unresponsive).
Do I have to enter the changed asset names somewhere else so Zorro can find them on startup?