As noted in the Zenphoto 1.4.2 changelog, there's a(n unsupported) plugin for pre-caching images here, if you truly find it necessary: http://www.zenphoto.org/index.php?p=news&title=cacheImages
I'm not entirely sure of the reason beyond what's already been said, but I would venture that, at least from my reckoning, it does seem unnecessary. In the case of a large-scale site, the images will be cached presumably quickly as there would be a multitude of users to view the image. As for a small-scale site, it doesn't seem as though it would put any sort of strain on the server to process and serve images on the fly.
I can understand your reasoning for wanting this functionality, though. I'm not entirely sure that pre-caching will yield higher usability, since processing a single image at a time should be quick, but this is exactly why the above plugin was created.