If your zen cart is located at a hosting provider, you may want to check with them to find out if the DB server is accessible from the "outside". Some hosting companies may prevent access due to the shared server environment.
I also want to mention here that the zen_import module is great to import customers (it creates the customer and branch in FA). However, the orders import is limited. It only creates order headers (customer, address, order total, etc.) in the FA sales_orders table, but the line items are not imported. So, an order is partially created in the DB, but you are not able to find those orders through the UI, because of the missing line items.
I guess this is due to the fact that Zen Cart allows product attributes without specifying a unique SKU per attribute. You could include some code in the zen_orders_db.inc (if you know your way around) to include the line items in the FA sales_order_details table, but the zen cart products_model will need to exactly match the FA stock_id. If you have products with attributes in zen cart, then this will not work well.
I believe there will be a solution to add SKU by attribute in one of the next zen cart releases.
Cheers,
Richard