Note, Martino, that this response is NOT specifically to you; it's here for the purpose of completeness in the archive.
I'd recommend leaving the DNS zone on your DirectAdmin server. While this seems to make no sense, since DirectAdmin uses the presence of the zone file to indicate that the domain exists on the server before creating it, leaving it installed may keep you from inadvertently damaging a domain you forgot was on the server.
However, if you do, and if you use your local nameserver as a caching nameserver, then you need to make sure the records match those at GoDaddy. Personally, I recommend that for best security you do NOT use your local nameserver as a caching nameserver, in which case it makes no difference what's actually in the local zone file.
For my resoning, search these forums; this issue has been discussed many times.
Jeff