Just confirming the same fix for this mod_security issue and, for the sake of Google, here's the error message I was getting:
You don't have permission to access [.../imageName.jpg.php] on this server. Additionally, a 404 Not Found error was encountered while trying to use an ErrorDocument to handle the request.

It's a server issue, not a ZenPhoto issue - it's the "imageName.jpg.php" bit that (on some servers) mod_security doesn't trust - but it can generally be sorted just by going to Admin > Options > General > URL options > mod_rewrite suffix:
and changing from .php to .html

Yes, we even had a ticket on that (can't find it at the moment).