Unfortunately the answer is, I don't know. There is no hint anywere on the Zyxel website or documentation that it is SIP-aware.
Google searches got a number of hits, but the most interesting were in Denmark, where my language skills are extremely limited

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I did a quick test to see if the ATA is UPnP-aware, since the Zyxel supports that. The ATA worked perfectly with UPnP disabled on the router.
So, in the end, everything is working extremely well, but I don't know why. I will be trying it with my home ADSL this weekend, with an older model of the Zyxel ADSL router. If there is any difference, I'll mention it here.
Hopefully not, as I'm overdue to call my mother....

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Greg