Zenphoto is able to create the cache images but is not able to display them. The cache folder has rwxrwxrwx permissions, the subfolders (albums) it creates get rwxr-x--x permissions and the thumbnails it creates get rw-r----- permissions. With these permissions, Zenphoto is not able to access it's own created images. When manually change the permissions to rw-r--r--, Zenphoto is able to read and display the images. So is Zenphoto running under a different user which is not the owner of the cache images after it creates them by itself? (..sounds stupid, I know :-) ..but obviously it looks like that to me.
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line 484: @chmod($newfile, FILE_MOD);
line 492: @chmod($newfile, FILE_MOD);
define('CHMOD_VALUE', 0644);
This also solved the issue and I think with that I am "update-save".