I ran into this issue as well, it would be incredibly helpful if the error indicated you lacked ETH to perform the two steps. The first step cost .0113 (~US$20), second step was .0551 (~US$95). It would also be very nice if the UI could indicate these fees are coming in some form or another. The UI, while very nice, makes it seem that you only need ZRX tokens, not ETH in the same wallet.