This tool is very nice, and I apologize in advance if this seems too simple a question.

The possibility to add field (location, country …) seems very useful,but when I do this, those information do not show anywhere in the album.

Is it related to the theme ? How can I specify which field I would like to display alongside the images.

Thanks in advance

Yes, you are right this is related to themes. To get the fields like location to display you would have to add function calls to do so.

For examples for the location field of an album you would have to use this:
http://www.zenphoto.org/documentation/functions/_template-functions.php.html#functionprintAlbumLocation

Use your browser page search find others, all are named accordingly:
http://www.zenphoto.org/documentation/functions/_template-functions.php.html

Those are all general template functions. Reading the theming tutorial would also be recommended.