Hi Jazzah,
I currently work at Westpac but I write to you as a customer. I have both the Third Party Internet Gateway setup on my Mum's site Designer Dogwear and I also have the Batch Advantage product.
The reason why I chose the Third Party Internet Gateway over PayWay was that from a customer experience point of view I thought it would be better keep to them in my websites domain.
See I also use PayPal and Clickbank for 2 other websites that I sell digital products and about 50% of customers make payment and then do not click the button that takes them back to the original website.
So without knowing how Zen Cart integrates for you (I use XCart) I would take note of the customer experience and look at how the process works.
Just 2 weeks ago I purchased a Surge Protector board online. After completing the order processing I had 2 options, 1). fax a credit card order sheet to them or 2). complete an Electronic Funds transfer. I chose the EFT. It took 4 days for them to received the payment, then they ended up being out of stock as they had sold the stock after I purchased it as they had not received my payment. So it has taken about 2 weeks and I still do not have the product. Had they had straight through processing I might have the goods by now.
Best of luck
Justin