Let us know if you find something out. I can assure that Zenphoto works on pretty standard shared hostings. I successfully installed Zenphoto on several over here (and I personally have only shared hosting as well).

I will.

Got an answer from my webhost:

As far as I can see there is no difference in how PHP works on the main domain and the subdomain.

The server doesn't have a cache that holds this information.
The only thing I can think of is the module not being active on the maindomain.
I don't know Zenphoto and can't tell you if there is a function to activate the module.

Doesn't help me much. The zenpage is published on the main domain.
The only usefull thing is that we know there isn't a server cache.
Anything else I should ask?