The solution is to add a C wire, also called a common or ground wire.

The Nest Thermostat and Nest Base can use power between R and C and not affect the W (heating) wire.

Fortunately, in my installation, the wire used actually had three conductors. So I just had to strip and connect the third wire.

Also fortunately, the Caleffi ZSR-106 has a terminal for C, it just wasn't wired up. So it was a simple matter to strip and connect the third wire on this side too.