Hello,
1. You speak of "uploading everything again". If these photos were already uploaded on your server (ex.: used by another gallery software that you had on the same server), you may use the File Manager included in your server's control panel to move them from the old gallery to the new one. If the structure was good, this is an easy way to to the job.
2. Loading 10 000 photos... You have two issues: uploading time and number of GB of traffic you are generating while uploading. Newer cameras generate JPG files that weigh more than 10 MB. So consider that if you have many large photos, your ISP might consider that you overload their servers, simply because you put too many GB on their servers.
FTP uploading will be much more convenient than uploading through Zenphoto. Just make sure you scan your folders to remove accented letters, spaces, special characters, etc. (these are automatically taken care when uploading through Zenphoto). There are many utilities to do that, but I like Free Commander (http://freecommander.com) with rename options.
3. Processing of photos is done the first time you *view* a page; then a processed image is cached. This is why it's not a good idea to display albums with 50 photos per page. But assuming you display 20-30 images per page, there is no difference in server load whether your gallery has 100 images or 100 000 images, because only one page at a time is processed. What could make a difference, however, is its popularity: if you have hundred of users viewing your gallery at once, your server might complain.