So I tried. On Fri night I attached another hdd with Zentyal installed to my router box and rebooted.
Provided LAN interface with IP, WAN interfaces with pppoe credentials, observed them successfully connecting to the ISP and gateways automatically created. Enabled DNS. Tried to browse ISP's web site. No go: the site never opened. It could be pinged, as could the OpenDNS forwarders I was using, but no web site would open.
I closed the browser and went over to my LAN workstation to continue configuration remotely. Still can ping internet from the LAN, but cannot browse any sites. So I thought it required a proxy... Enabled transparent proxy, added router and its port# as a proxy to Firefox and tried again. Same thing, but now I cannot open web admin interface and cannot ping any internet site. Added exception for the LAN to Firefox proxy. Web admin works again.
So I thought that it probaly does indeed not run in 512 MB box and moved HDD over to a box with 2 GB RAM.
Still the same: no web site would open. There was over 1 GB free ram and CPU load was fluctuating between 0 and 100, never sticking to 100 all the time.
I find it strange that soft router would not work right out of the box, this is the first time in my IT career. What other configuration does Zentyal need to serve as a router?