"...what benefits are there from upgrading?"
Very few, and none along the lines of what you are thinking of. You should not have to drop an "internet setting" to use your network. Or to use anything for that matter. If Zonealarm relies on one setting for all, without allowing you to create protocols for various programs, IPs, comm types, etc. then I think you should try a better softeware firewall. I use Kerio (free) and Outpost (paid for) and both of these are highly configurable to the point where the user has total control over everything from program access and launching to LAN permissions.
Do not forget to enable the NAT/SPI firewall in the router; these have a very different bias to software firewalls. S/w firewalls are primarily there for the control of outbound comms and program activity, while a hardware firewall filters certain stateful packets, etc. There is overlap, in that both types control inbound comms in this way, but hardware firewalls do it better. You should rely on your software firewall to do what it's best at.