You're getting there...

Loose the Neutral Fuse as suggested.

Your Triac isn't completely wired... it's a three legged device. The LIVE goes through the TRIAC from the Supply Connector and goes out to the LIVE pin on the LOAD Connector. The NEUTRAL is common between the Supply and the Load, correct as you have it.

For those keeping an eye on this thread, if you use an isolated Supply for the PIC, it's low-voltage side will become LIVE the moment you connect it to the TRIACs gate. If you want your PIC to be isolated, then you will need an Opto-Isolator (or Pulse Transformer) of some sort between the Gate and the PIC.

Again, going back to an earlier question, yes, zero-cross is important - for many reasons (even if it's just to keep the peace with your neighbours). Go read up about it.