Of course, the "rule" (not enforced) is that you overwrite all the files provided by the Zenphoto package. If not Setup will tell you there is an issue as a warning.
In addition, if you do not update all files, there may well be problems introduced due to compatibility issues.
So if you intend to modify a theme, make a copy and modify the copy. Zenphoto provides a means to do that. Best still, if you operate this way you can compare your theme to the distributed one to see what has changed and may need to be updated in your theme.