"Or does all panning and zooming have to take place whilst recording?"
Definitely, allways use you camera for that. Panning and zooming in your software is not reccomended because of the limited resolution. If you want to use your editing software for it anyway, almost any current software has the ability to pan and zoom, to zoom you just need to adjust a setting but to pan the software needs to be able to keyframe the movement.
I don't think premiere 6 has this option, don't know about ulead.