Yes, you miss a point..:-) That is a Zenphoto tutorial and focusses on Zenphoto PHP functions and how to use them for a theme. Zenphoto themes are besides that plain (x)html and css. We really can't tell the basics of html and css, especially since there are lots of better sources already out there. I hope you understand that.
The slow loading should happen only once when Zenphoto generates the thumbs from your full size images for the cache. The slower your server/the bigger your images/the more thumbs per page the longer that takes.
Comments
2. http://www.zenphoto.org/2008/01/hacks/#zenphoto-as-plugin (also lots of threads about that)
Also please read http://www.zenphoto.org/2008/05/theming-tutorial/
The slow loading should happen only once when Zenphoto generates the thumbs from your full size images for the cache. The slower your server/the bigger your images/the more thumbs per page the longer that takes.