Have you enabled the firewall at all? Do you use a VPN?
If you have enabled GUFW (Gui for Uncomplicated Fire Wall) you can add the predefined rule that Zorin Connect is allowed through.
If you are using a VPN, neither Zorin Connect or KDE Connect will work as a VPN effectively changes your IP address to one that does not exist on the physical network.
I created a Tutorial on how to use Zorin Connect, the easy method here: