Thanks Chief, that was it: "Setting the plugin option to colorbox" resolved the issue. I wonder how did it change automatically after the upgrade.
Last night I opened the options for this plugin and was about to experiment but just ignored it since I didn't know the logic.
Reason I was asking not to upgrade themes which I am not going to use was to save time, since zen-photos upgrades are very frequent. However they are so far all updated and there are no design modifications in the theme I am using. Though I am thinking how can I fit in google ads in this theme.
Anyways thanks a lot, much appreciated.
Thanks everyone