I have Zenphoto 1.2.9 running with the Zenpage theme that comes with the default installation (but no plugins), but it does not seem to show the bar of small thumbnails above the large images as shown in the theme images and in the examples.

Does this row of thumbnails require a plugin or am I just missing a setting somewhere?

The paged_thumbs_nav plugin is what generates those thumbnails. You should be able to simply activate the plugin to get them to display.

Thanks!