Yes, I'll share it.
I found the solution at 2 a.m. and being bit tired of it, so I just let you know I got it.
It seems, not sure, is cause the server, the ZenPhoto script or both together. The fact is I had enabled the imageshack library to generate the images for captcha. Imageshack is working properly as I'm using in other account of my reseller hosted account (so no way to say is not workin, then I can confirm works nice). However, something happens when mix the library with this script and the Imageshack option in the admin panel is enabled. Surely this option works fine in other servers. Not in mine. Therefore I disabled it in order to use the GD library, and now works great.
So, for painfull souls as me getting crazy cause odds core.xxx files autogenerated by the hosting are eating the host space, just disable the imageshack option in the Admin Panel of the ZenPhoto (by the way, nice software). I think even is a good solution for people who don't see the Captcha image works as expected (in case it is enabled, of course).
I recommend to developers specify in the Admin Panel the use of imageshack or GD Library. I mean, a combo option or a help note where people see clearly what they are using or selecting. Solution was as easy as click a box.