Welcome to LXQ! This sounds like a cosmetic problem from your description. If you're connected you're connected! I'm not a Zorun user, but perhaps this is a NetworkManager status message, and since you're connecting via a terminal with 'pppoeconf' command, NM is unaware of the PPPoE connection. You might just be best to disable/stop the NM front-end if it bothers you. Alternatively, you might be able to create a DSL connection using NM connection editor, so that it can connect you using the graphical UI instead.
Anyway, this might help others to get a clearer picture about your internet connection...