What are the rules about shooting into an opponents set up zone. My take was:
1. Never on the first turn.
2. Never (at anytime) with artillery.
3. Fair game with tanks et al after 1st turn plays out.

If not, I've been a very bad boy!

I think that we should never shoot with anything into the opponent's setup zone early in the game with the aim to cause mass casualties among the bunched up troops/reserves.
When I am the attacker, I find few things more annoying than when my tiny setup zone - crammed full of troops - lights up early in the game, whether it is turn 1 or turn 5.
If possible, the attacker should help the defender with this by avoiding putting lost of troops in highly exposed positions.
The defender is free to return fire at anything that is shooting at him from the setup zone, and the attacker needs to be prepared for that.
Obviously, the attacker can shoot at anything in the defender's setup zone, anytime.

Combat Mission is a game so what Drifter Man said.

I usually go for no defender or any side in a meeting engagement pre-planned. After turn 1, anything goes. Of course, it's always best to establish the rules before the game set up.

So no counter attacks into the end zone? A long valid strategy.

Combat Mission is a game try different rules and see how it plays. You could have different rules for different battles/maps.

I am in a small battle and my opponent is firing at units in setup zone, it works for this map. In another battle my opponent has advanced to setup zone (not as bad as it sounds), works for this battle.

Try different things and see what works.

Say you like a scenario and want to play it as a QB, give it a go, sometimes it works sometimes it does not work.

I too agree with Bill. It depends on the map. If the setup zone is wide and deep, with a terrain in which the attacker can fight as a defender, then an early counterattack may work without breaking the game.
If the setup zone is just a narrow strip of open ground into which the attacker must cram his force - he has no other place for it - and the defender tries to cause a slaughter by immediately attacking, then it is not fair.
On many maps it is the latter case - the setup zone is an abstraction for a deeper rear area. Too small to realistically think that the attacker would actually place so many troops in it. But as the attacker you must go all in from Turn 1 - you don't have the choice to disperse your troops to make them less vulnerable.

Many maps have attacker setup zones that are laughably tight. It isn't proper to use the knowledge of where they are.