can you have a look on this page : http://www.vincentbourganel.fr/pages/zpardoise-1.4.5 ?
there are 16 pictures in a slideshow, with cached images (and all cached images exist and refer to existing image in my gallery.
there is another image used, an icon for download my theme.
This picture is not in my gallery, but is included in my theme folder.
If I remove the download icon, there is no message.
So this is this picture which cause the note.
According to me, if Zenphoto doesn't cache external pictures (who are not located in the gallery), zenphoto should exclude those pictures from caching process and not gives a warning message.