Sure... There it goes some ideas:
1 - some official themes (the ones supported by ZenPhoto developers like for instance StopDesign) are not really fully supported cause a couple of things are missing or working not that good
2 - ZenPhoto developers could spend more time supporting theme developers; themes are very important for the quality of a photo gallery and ZenPhoto currently has only a couple of themes only and not that much amazing like for instance WordPress has...
3 - design of admin panel could be improved by, for instance, replacing help text in third column by links to the same text which could be presented, for instance, on a pop-up window; that would give more space for the really important part, the parameters and like so could give a better view of all parameters to be configured
4 - some plugins could be improved in a way that not much setup would be required from user! They could be improved to become more "plug-and-play" style, I mean, kind an on/off only...
5 - users could have the possibility of coding a header and/or footer file, kind a custom-header.php and/or custom-footer.php for some additional customization
6 - tag management in admin panel is a bit confusing and not working well (some rename/delete/add tags fail sometimes)
7 - encoding still has a long way ahead to become good enough (I'm the "official" English/Portuguese translator and I'm not feeling that happy concerning character encoding :-)))
8 - EXIF support could be wider (there's some huge brands missing!!); this is a very nice feature but restricted only to a couple of camera brands
Well, just a couple of concrete ideas to become even more constructive....