I have news. I turned off NAT and used only Load Balancing (by using the same network card for balancing between several Internet lines). And the results are the same : 10% packet loss at the Zeroshell box.
Here is my setup :
My PC is 192.168.0.100
My ZS box is 192.168.0.1
My Internet gateways are 192.168.0.2, 192.168.0.3 and 192.168.0.4
NAT is disabled
Load Balancer is activated (192.168.0.2 is the only gateway enabled)
A traceroute (WinMTR) on http://www.google.com gives the following :