However, I changed frequency, pressed Zero (0) to establish contact but got no reply.
On Tower frequency, hotkey 1 is used to check in for landing (if you are doing it manually). Zero is used to request taxi to runway (for departure) at airports where there is no Ground frequency. See the list of hotkey functions in the PF3 Display utility. You can also use a text editor to open the pf3_disp.dat file (in the PF3\PF3_Displayer folder) and print a hard copy if you wish.
Good call on your part to manually contact Tower when doing an RNAV approach. In some cases the approach lines up with the runway too close to the airport for the frequency change and Tower contact to occur automatically, even when using CP Mode 2. If you are lined up with the runway far enough out (maybe 6+ miles or so) the frequency change and Tower contact should occur automatically if you have the CP set to do so.