It simply means that ZA did not uninstall properly, and it's service driver (TrueVector) is still running. Did you stop ZA before uninstalling ? You may try to uninstall in safe mode. Eventually you may stop the truevector service manually in safe mode, disable it and repeat the procedure.
The firewall engine was not premoved because it was still running in the background while you were attempting to uninstall it. I recommend you follow the instructions on this knowledge base article to uninstall the part that did not get uninstalled at the first place: http://www.nohold.net/noHoldCust25/Prod_1/Articles55646/CompleteUninstallNonNT.html
