This plugin uses the filter "theme_body_open" of the zenpage theme to set all empty user albums to the unpublished state.

It is tested and working on all Versions including the current nightly build (zenphotoV1.4.2-DEV).

Link to the plugin: http://www.zerberster.at/unpublish_empty_albums.rar

This is just the download, I had no time yet to provide proper documentation, but the file is well documented itself and easy to use. Just activate it, make sure the filter exists, and you're ready to go.

Update:
The loop I used in Version 1.0 interfered with the rest of the site funtionality and caused fatal errors in the weirdest circumstances.
Version 1.1 uses its own Album and Gallery Objects and therefore leaves the rest of the loops on the site untouched. No fatal errors anymore - good thing ^^

Thanks, I will add it to the extensions section.