Dear Berna,
Two ideas: firstly, it appears from your screenshot that each of your atoms has a different label. If you leave the 'Search by label' box in the Bonds dialogue ticked, VESTA will only search for instances of Zr1 bonded to O1 and Zr1 bonded to O2. You should still see SOME bonds though.
Therefore, my other suggestion is that the distances between atoms you want to bond is greater than 1.6 Å, and so outside the bond length range you're searching. You can check the interatomic distances using the measurement tool along the left side of the main window. The fix is as simple as increasing the maximum bond length.
Hope that helps,
Philip