I had probably the same problem.
This is the topology of my network.

On the laptop I am able to use Calman or DeviceControl and connect easily to the PI4.
When running ZRO or LTE and pressing Connect in the Hardware Tab (with PGenerator selected as hardware type) nothing happens on the right column in the "Generators" field. It remains greyed out.
But if preselect "Network Server" as hardware type I can see the PI4 connecting. Of course this is not desirable as you loose control on many of the settings within ZRO.
Also I am able to connect from ZRO/LTE to the PI4 using the USB method or the WI-FI method.
My laptop does not have a wired connection so I was not able to verify Direct LAN method.
ZRO/LTE are cleared in the firewall of the laptop.
The solution was to add a static route to the PGen in the hosts file and after that ZRO/LTE are able to connect to PGen.
If someone wants to investigate, this problem is easily reproducible on my machine. If I remove the static route ZRO/LTE is not able to connect anymore to PGen, whereas Calman or DeviceControl keep working.
Regards,
Cristian