Do I need to set ZoneTick to display a certain timezone before I can assign an alarm to this zone?
No. Alarms can be set up on disabled, hidden clocks. Unmark clock checkbox in the tree to remove it from your system tray. Alarms will still function for such clocks unless they are disabled. Note that you can disable all alarms for a certain clock by unmarking its Alarms node or disable some alarms individually.