As long as the R1 is in the DMZ then no further action needs to be done on the Zyxel interface, except perhaps disabling it's UPnP and any current port forwarding rules present on it. The Strict NAT is likely caused by the Geo-Filter being enabled (doesn't mean you have a strict NAT just that the Geo-Filter is blocking the server it uses to read the NAT status). Disable the Geo-Filter then enable when you're on the game itself, should then see an open NAT.
I've done everything you've suggested, but I've now reached the odd dilemma in which my Xbox One's network settings still show Strict NAT and Double NAT Detected, but every game I've tried shows an Open NAT.
So... Is my console actually in an Open NAT state right now, but it's just displaying the incorrect NAT status?
Edit: Games are now showing moderate NAT, console is showing Strict. How fun.