If you did set the ZoneAlarmCompatibility=1 then the transparent proxy of avast is disabled, so avast's web shield wouldn't interfere.
If you then manually set the browser/s to use the proxy, that should give the ability to use the web shield without interfering with ZA Pro's privacy.
If you additionally disabled the ZA Privacy or lowered it to Medium, that too should mean no conflict, so I'm at a loss as to what is going on.
Although it shouldn't be necessary try a reboot.
If it is still the same, confirm the ZoneAlarmCompatibility=1 is in you avast4.ini file, if it is, delete the entry and reboot avast should ask about ZA Pro compatibility answer YES.