(Disclaimer: NOT financial advice. I am not an accountant, etc.)
It wasn't just the 1042-S form from Zazzle, was it? That's what I got from Zazzle a few days ago. (I'm in the UK.)
If so, it is just for your files, as an annual statement by Zazzle of how much you earned for the year, and how much tax was withheld by them to be forwarded on to the IRS. That amount will depend on what was negotiated as part of your (Spanish) Double Taxation Treaty with the US Government. The UK/USA treaty eliminated double taxing (ie 0% withholding); but I think other countries don't get a zero-rate, but do get a reduced rate.
If it is the 1042-S, it should have Zazzle's address on the top-left of page 1. Mine has the exact paragraph you reproduced above, on the back of page 1.
If it's not the 1042-S, I don't know. I have never filed a tax return with the IRS. I believe that is required if you employ staff and/or own infrastructure, manufacturing facilities, etc in the USA. But as Zazzlers, we get our money as Royalties/Commissions.
If you're worried, and it's not Zazzle's 1042-S, get official financial advice, esp as Spain will have a different arrangement with the USA than the UK does.
