You'll want to add a printTags() call to your template where you want to have the tag cloud displayed. Usage can be found here in the documentation:
http://www.zenphoto.org/documentation/functions/_template-functions.php.html#functionprintTags
Printtags does not print a cloud. It is this:
http://www.zenphoto.org/documentation/functions/_template-functions.php.html#functionprintAllTagsAs
Or this plugin:
http://www.zenphoto.org/documentation/plugins/_zp-extensions---tags_from_album.php.html#functionprintAllTagsFromAlbum