'kay. I have the free version not the Pro, and an old one at that, so the interface may be slightly different.
Open the zone alarm window. Go to Program Control > Programs. (It may take a minute to populate.) You should see a list of programs ZA has encountered with columns access - trusted, access - internet, server - trusted, server - internet. In the rows you'll see questions marks, ticks or crosses. Scroll down and check for any crosses - these are where access is blocked without a message appearing.
But I don't know if this will be enough, because I don't see how this would block just one site or protocol. That would be something that's in ZA Pro that isn't in the free version.