That was always a bug I noted in Zenshow. I'm not sure where it comes from, but I've never been able to determine the cause. The author doesn't seem to post here any more, so it may be something that might not get changed unless someone has the willingness to look at what may be the cause.
For some reason, it still works, it just keeps defaulting to zen_ in the admin, but the zenshow functionality should still do what it is supposed to.