Yeah! Got it working!!
The problem - my nginx's www-data did not have permissions to read/write on the new zbblock folder, so it was not able to generate the files. Once making it accessible to my nginx's user, it created everything as said in the manual.
Dude, the manual is awesome. The kinds of defence mentioned in the manual are just amazing. I'm a fan.
Thank you for you cooperation Afecionado.