I have had some issues with using a reverse HTTP proxy in front of zenphoto (something I have to run because of the high amount of traffic to the server).
I've found the problem and written a patch to fix it when running behind a proxy (it can be turned on/off in zp-config.php).
The problems is in i.php which redirects to each image the client requests (redirects is often bad in the world of caching and may slow things down). This caused the cache to use a couple of seconds for each image when fetching from zenphoto.
I'm happy to share the patch upon request (it's diffed against the latest SVN revision).
Zenphoto
