This is not same as ClickOnce..
Though I am not completely familiar with the "zero touch" stuff here is what I would assume would be happening. Broadly stated, To do remoting related operations the application needs full trust (unrestrictred permissions in terms of CAS). when you download and run using "Zero Touch" deployment I would assume that you are getting less permissions than the unrestrictred permissions. so the exceptions.
If you are using VS 2005 can you considering re-publishing your app with appropriate permission set using clickOnce
-thanks
sreekanth