UserA create a password protected album.
A guest click on the album link and a page show up to let the guest input the album password. This is OK.
When UserB login zenphoto, he click on the UserA's password protected album, there is a message show 'You are logged in...' instead of the input the album password page.
So as a registered use, userB have no access to this password protected album?
Why?

Depends on the rights of the user:
http://www.zenphoto.org/news/an-overview-of-zenphoto-users

What you describe is not how it happens when I test. Maybe your theme (Which you failed to mention) is doing something strange.

Hi sbllard,
Thank you for your reply.
Yes, this is the theme's problem.
This is happen when use the zpskeleton_v1.4.5 theme.
Switch to default theme. UserB can see the login form.

This is way we request to name the theme used and test with official themes. On those we know what they do as 3rd party themes may do quite specific things "off the standard". zpSkeleton is a quite sophisticated theme in parts.

I have edited the title of this thread so that the theme author might notice and respond.