Does local mail go to my ISP and come back to ZxMail?
It depends, if you use a domain that you own, and you are the person creating the email address for this domain, and you created the same mailbox on ZxMail then the email stays on ZxMail and does not go through your ISP. Now if you mirrored a domain that you do not control then emails you have defined local will stay on ZxMail, the problem with this situation is ZxMAil will need to be told to forward mail that is external, which could require creating a number of forwards.