And what if you (in runtime) try:
Query.SQL.Text := 'SELECT * FROM COMPANY.clients WHERE CODCLI = 123456';
Query.Open;
Also, try to make one component in runtime, and other one at design time (i.e. create TZConnection at runtime, and put your TZQuery in Datamodule).
Then at runtime (without creating TZQuery):
Query.Connection := Connection;
Query.SQL.Text := 'SELECT * FROM COMPANY.clients WHERE CODCLI = 123456';
Query.Open;
If it works when you all create at runtime, I bet the error is somewhere in your code or component setup.
Did you set Connected of TZConnection to false before running application?