I'm integrating (so not theming) ZenPhoto into my website.
On the original album page I see subalbums and images on one page, but on my custom page images are shown on page 2.
How is this possible?
Here you can see the setting
And here you can see it live.

Sorry, we really can't help with that as we don't know what you are doing to integrate.

You are actually theming as you are fitting the design of the Zenphoto part to your site. What Zenphoto uses to display is a theme, no matter if you change it or not. In any case you need to look at the theming tutorial to learn how Zenphoto works.

What you should do is to use a standard theme and look if it works there. If it does something is wrong with your integration.

Oh oke, hmm the code I use is actually the same.
I do know how ZenPhoto works

If the code is the same then the results will be the same, so...

Pagination is really quite complicated and depends on "honest" options to work--that is that if you say there are 3 thumbs in a row and your theme does not show three, things may not work. Simlarly, it you do not exhaust a loop Zenphoto will not know the pagination is off.

Simply put, if this works on standard themes and not on yours you have done something different.