The teenager scored either side of a Gabrielle Angella headed goal which he set up with a corner, while Eliot Richards scored a consolation effort for Rovers.
Republic of Ireland U21 international Murray struggled to secure a regular place in the team last season and Zola praised his persistence and positive attitude.
"I am delighted for Sean. Last year he found it difficult when we brought a lot of new players in, but he never gave up, let himself down or lost his smile," said Zola.
"I hope he keeps improving, keeps scoring and keeps performing like he did tonight.
"He came up from the youth team two years ago and maybe thought the second year would be easy for him.
"That wasn't the case, but you can learn as a player from those sort of situations.
"I thought we played well for long spells in the first half although Bristol Rovers made it harder for us in the second half. They have some good, young players and made it harder for us to get out."
Bristol Rover manager John Ward admitted he feared the worst when they were 3-0 down but was pleased with his side's fighting spirit as they came back at their Championship opponents.
"When we were 3-0 down I was a bit worried we could have been heading for a heavy defeat, but I was more concerned about how our performance would be in the second half," he said.
"I was pleased that we tried to play more like ourselves in the second period rather than trying to play like Watford did in the first half.
"They were the better team - there's no doubt about that - but they have international players, keep the ball and move it about well.
"We have a very young side out on the pitch at the moment, but this will have been an important part of their education."