That is puzzling. I do not know either device but, from what you have described and the images shown, I would expect the setup to work correctly.
Silly question time (from me): When performing your tests, have you actually connected the ZyXEL device to the incoming line? Or are you concerned about provoking DLM action and so are testing without that link in place?
I have been connecting the Zxyel directly to the line, probably going to get hit hard by DLM!
I was going to tell Sky I had multiple powercuts if I ever got it working and hope for a caution counter reset/ DLM reset.
One weird thing is that when I connect the Zxyel to the first line, it causes the second line to momentary drop, I'm not sure the drop on the second line happens when it is powered on or connecting, I haven't tested when it happens extensively. I didn't realise they would have any cross over, so I am unsure why that is happening, but the master socket for the second line is directly below the first line.
Weirdly the Zxyel makes a moderately loud double click sound each time it is booting up, never heard anything quite like it from a modem or router. It is enough to get the dogs attention.
I think I might go ahead and return it, get back to placing bids VMG1312-B10A / ZyXEL VMG8924-B10A. I couldn't find much information on the Zyxel XMG3927-B50A so took a bit of a risk ordering it in the first place, but then again it could be me doing something incorrectly.