Here's the next attempt:

http://server.conitec.net/down/ZorroMT4.zip

Again, please install the DLL also in the Plugin folder. There are two changes. The high CPU Load was due to a too-high event timer rate dependent on the OS configuration. This should not happen anymore with this version. The other modification was enforcing an asset subscription when it is not available at first. This could solve the issue of unavailable assets at start. Since this problem didn't happen here with any broker, it's a "blind fix".

Please test and let me know how this version works. Don't forget to remove the old EA before putting the new one on the chart.