So you should use the Chicago DST.

That may not switch on and off in perfect sync with the CET DST. You are right here. That's the only point I have not verified.

To recap:
- if you want 'official' daily bars use the Futures FX opening time.

- best and simplest: download directly daily bars (already aggregated) from FXCM and use them as a separate time-series to work with your intraday bars.

- if you want to aggregate with Zorro, it's slightly more complex and the
results will not as perfect. Use CET 23H00 as the end of the day and aggregated with TimeFrame as shown in the example.

- usually around midnite CET volatility is low and differences are not huge.