There has to be something wrong in your Color management work flow, there should be no difference at all. Also worth noting that you wouldn't want the color profile with the file anyways, it makes it bigger, it depends on color profiles how big they are, some are huge.
Say you would use the color management of "FF Frontier Print sRGB, Fujifilm" for your work and Zenphoto would not strip down the color profile. then you would end up with thumbs in the gallery that are Thumb size + 800kb for the profile. That is a hefty load, the same would count for the single images, image size + 800kb. Then there are some much bigger profiles.
I took a look at the photo in the first post, no difference what so ever.