Adding your Level to a zone is necessary for teleporter shrines. If a level is not member of a zone you can use your personal teleporter to teleport to a teleport shrine, but you cannot teleport back. So if you want to add a terrain or grid to a zone, you have to create your zone dbr files first via the Art Manager. If this is done, you select simply your level in the layout view, and select "Add to Zone" in the menu. A dialog pops up where you can select all the zones you imported in the zone dir.