I wonder about the synth if it can be set so it will echo with the sustain and release?
When I hold one note and then release it, the sound disappears at once. 
A "normal" synth usually have reverb on the sounds and I do not understand how to get it in Z3TA+ 2 without using the effect "Reverb" ie.

You are talking about the release stage of the amplitude envelope.  It has to have a slow release and be engaged.  Or it could be the filter envelope.  Reverb is an effect added onto it.