Don't set it to zero. Shipping being free for the customer doesn't make it free: someone pays for it, and that someone is you.
If you leave it at zero, Escalafy doesn't deduct it from any order and your profit looks higher than it really is. Because it affects every order equally, it's a mistake that doesn't stand out: you just live with a margin that doesn't exist.
The right way
Enter the real cost you pay your logistics provider. If you have different rates by zone, enter an average.
The reverse case
If you charge the customer $10,000 for shipping and it costs you $6,000, the difference counts as revenue —that's fine—, but the $6,000 still has to be entered as a cost. No matter who absorbs it, the cost exists and has to be subtracted.