LeakTest WAS ABLE to connect to the main GRC.COM Web Server!
LeakTest was not prevented from connecting to the Gibson Research web server. You either have no firewall, you have deliberately allowed LeakTest to connect outbound, or (if neither of those), LeakTest has just slipped past your firewall's outbound "protection", if any.
To fully understand this test's intentions and results, please take the time to read the first two LeakTest explanation pages at grc.com:
I guess that means that I need to reinstall Zone Alarm.