HA link zone?

You can use your own Zone, for example, create a Zone called HA and use the same settings (HTTPS and SSH). Then move the zone of HA Link to this Zone. 

Can not update the interface zone ^^



My question was also regarding -> the user are configure the firewall like in the online help from Sophos -> SSH access to firewall on by default for DMZ zone (maybe update the manual regarding security issues?)

You need to break up the HA first, to do this. 
But yes, you should be careful with the usage of DMZ in other zones as well, as it enables per default SSH as well. 

Create custom Zone for HA setup 

Create custom Zone for HA setup