The "Create Zone" option brings up a dialogue box asking how many inputs and outputs you wish to assign to this zone. This is for routing through the zone as required; for example to input audio from a source (i.e. CD player) or another zone and then route this to a speaker installation output.
If you are not sure of the I/O needs at this stage this facility can be added later to the zone by right clicking on the zone object and using the Add or Remove Ports options in that menu (these options are also in the Zone menu).
You can connect anything via these input and output ports as they are only to represent the physical wiring in the real world system. Therefore both audio and CobraNet connections can be made from the Main design area into a zone or, from zone to zone.