That's where I looked first. But unfortunately it is not listed there.
That cannot be if you are new to Zenphoto and therefore should have Zenphoto 1.6. If you are really on an older version than 1.6 or even 1.5 that would be really weird and you need to upgrade.
You are really on this page? https://www.zenphoto.org/screenshots/zenphoto-admin/plugins.jpg.html
The sub tabs may differ as plugin categories may change especially if there are third party plugins. Alos the screenshot is not the exact latest.
Then something might not be correct on your install. Please review your log for errors and also the following folder /zp-core/zp-extensions/ of your install that there is a file cookieconsent.php and a folder of the same name.
You can find a screenshot here:
https://uni-siegen.sciebo.de/s/JMq8rpiCXAttEwL
I will try to install the plugin manually.
You can try the related internal funciton for this but I doubt that will work if Zenphoto for some reason does not recognize it.
You need to find the cause. What do the logs say? I could imagine some file/folder permission issues or some other incompatibility.