I just downloaded version 1.2.5 and tried to do an install, but there is no zp-config.php.example present in zp-core (and no config.php either) ???

It is named zp-config.php.source

Did you try running setup? You really should not need to deal with the zp-config.php.source file as setup will use it to create a proper zp-copnfig.php file.