Sorry for the late response. It seems that the asset is not found even before downloading the history. Can you make the following change (red) to the Zorro.mq4 EA?

case CMD_ASSET:
if(!Update) break;
string asset = assetFix(ZorroString());
arr[0] = MarketInfo(asset,MODE_ASK); // price
Print(asset," price: ",arr[0]);
if(arr[0] == 0) {
...

Then attach the EA to the chart and start the session again. It will now print a lot to the Experts log, so stop it after the history was downloaded. The interesting part are the log lines with the missing asset.