I'm trying to run Multiplicity by Thinkdesk (Stardock) between two local machines with ZoneAlarm basic, and did in fact have it going the other day -- but don't remember what was special at that moment. :-(
Multiplicity defaults to use TCP port 30564, and as I read the docs that should be open by default within the trusted zone (subnet range is declared explicitly as safe). I've just tried the trial upgrade to ZoneAlarm Pro, but don't see that it gives me more specific control in this situation...