I think so
You are right on one hand, if you run two different firewalls, they are separate. Both firewalls are for your computer, which connects to the Internet. XP SP2 firewall is not that great, but better than nothing. Zone Alarm is much better, but can affect your Internet connection. I've seen people configure it so strict that the Internet was crawling- like the machine was infected with spyware. Both firewalls serve the same purpose- to protect you from outside threats, meaning out on the Internet, it's just one is much more advanced.