Most likely you will have to take this up with `HostMonster`. Zenphoto uses the PHP function `get_magic_quotes_gpc()` to see magic quotes is set. Apparently what you are doing does not cause it to be reset.
Regarding setup: The process checks the files in your installation. The time-stamps should all be within a reasonable window if each other. If not it shows you which files seem out of sorts with the others.
There is also a package definition which contains the names of all the files. Should setup not find one of the listed files it will tell you that it is missing.
Setup can be fooled by some server configurations that do not allow it to read the list of files in a folder. Maybe that is the case with your themes folder.
If you are convinced that you have all the needed files, that they all came from the same install package, and that everything is indeed working, then you can ignore the messages.