Under the VM Options for the Zeroshell VM:
There is an option to force entry into the BIOS setup on boot.
Once in the BIOS setup, go to the Boot options and set the CD-ROM (the Zeroshell ISO, mounted at Boot in the VM) to the first boot option.
Then it will work.
While not overly hard, this one took me about 2 hours to think about the fact that it needed to boot from the ISO after the DB was created. Before you create the DB, the VM’s HDD is blank, so it auto-boots from the CD. After creation, it tries to boot off the HDD first, so just shows up blank.