Actually 2 things...I like to have a "page" as the homepage rather than the gallery - I can do this in theme options then selecting my unpublished page. No problem...BUT...
So I guess in summary, perhaps a checkbox under "Locked for Changes" saying "Hide from Menu" - even on un-plublished pages. This way we can set exactly what pages we want to display whether they are published or not...By default they'd show - checking the box hides them...
The automatic menu functions show only published items to not logged in vistors respectively those the currently logged in user is allowed to see. If you like more control on what is show you have to use the menu_manager plugin to create a custom menu.
Note that if you mix for example pages and albums in a menu, you have to modify your theme to use some of its functions. For example the standard breadcrumb functions will be wrong if you have an album as a sub item of a Zenpage page.