I was experimenting with various combinations of settings and stumbled on using CT as the state and #CTZ001. as the zone. I had been missing the "period" at the end of the zone. Everything works now. BTW, that FAQ is new to me. I wish I had seen that earlier.
My county in Connecticut still gets its forecasts from the New York office, and there are times that there is a difference and delay in setting up warnings compared to what the rest of Connecticut shows. Anyway, at least I've got something working now. Thanks!