I gave up and installed Ubuntu 12.04 LTS with zentyal-network package. It also gives online configuration of networks and it worked perfectly the first time. I don’t know why I couldn’t make it work with Zeroshell… I tried really a lot.
But be warning if you are going this way: I upgraded with the latest zentyal packages (from outside ubuntu’s repository) and it ruined my ubuntu install, leaving it with no network connections and dbus errors. But plain ubuntu 12.04 LTS brudging worked but the firewall didn’t seem to work.