Hi Thirstywolf, I believe the answers to your questions are:

Yes, you can run multiple Zorro instances from the same EXE (don't install Zorro more than once). Each Zorro can handle a different strategy and some can be trading while others Train or Testing.

For MT4, I believe you will want multiple separate instances of that as Zorro refers to each one based on your MT4 account #.

As far as I'm aware, the only limits would be the amount of memory -- ie how many Zorro's and MT4s could be running at once.