I would guess that they were not impressed with the coral frenzy or hungry. It is a dry that you soak right? I have not tryed it myself yet so really don't know. I have tried a freeze-dry type mix before and rehydrated it and the zoas did not respond to it. Now I feed only finely chopped frozen/thawed and all my zoas go after it like mad.
But to answer your question about them closing to feed or not, yes, they will close in order to trap the food with their tenticles and take it into the mouth part. If they do not close but puff up instead, they are probably irritated by the food stuffs touching them.
Maybe try getting frozen silversides, mysis, brine shrimp, squid, krill and put a small chunk of each into a food chopper and chop it till it is really tiny. I do it while still frozen for best chopping effect. Then add some tank water to it in a cup and allow it to get to tank temp and target feed with a syringe or baster.
Guarantee your zoas will not be able to resist it.