The Proxomitron is compatible with all firewalls, as long as they can be configured to allow
a) the Proxomitron to connect to the internet, and
b) allow programs to connect to the Proxomitron.
I have never heard of Nero-watch, do you mean Neowatch? If this is the case, I don't think you need to change from ZAP, as it is about the same.
If you really want to try a better firewall, go for a rule-based one as Kerio Personal Firewall, or Look'n'Stop.