Correct on NAT, it won't matter as long as you don't connect anything to the WAN port.
Your router is still listening, and talking, on it's configured address (that you wrote on a label on the bottom, right?), it's just not inviting anyone else to it's subnet party with DHCP. That's why you need to statically address your PC in it's subnet to talk to it. It's still a router, but with nothing to route from or to. If you plug the WAN into the Internet and turn DHCP back on you'd have a router again. In fact, if you set the subnet and gateway in your current router's DHCP to the address of the Zyxel, and plugged the internet back into the WAN port, it would be a router again. I don't know why you might ever do that, but you could.
The firewall on the Zyxel is entirely useless at this point because no traffic is actually going "through" the router and firewall parts of the device. Currently, the entire box is supporting a little switch chip and playing dumb to everything else.
Remote admin is bad in 99%+ of all cases. There very few cases where it makes sense, usually in an enterprise setting that rarely uses that class of router. There are better ways to accomplish the same thing. Off is the appropriate setting.