I cannot reproduce with neither Lazarus 1.0.7 fixes, nor Lazarus 1.1 (rev. 40260), Windows 7.
I open new project, then add new data module, put ZConnection on it and ZQuery on the main form. Then in object inspector I can select ZConnection1 in ZQuery1.Connection property.
This is all I did, I didn't even need to add unit2 (the one with data module) to uses list in unit1.
Which Lazarus version do you have? And which os?