Note that the home link does not refer to the Zenphoto site itself (that's the gallery index) but some parent site (IMHO a mislabeling from old times as we consider Zenphoto sites itself…). If you use a standard theme you don't need to add this as the breadcrumb function already does that. But you need to set an URL on the corresponding option. You also have to set a name for the link on the 2nd related option.
Visit Options > Gallery and set the website title and website url options as described. as said it is not the home link of the Zenphoto site but on some parent site if you use Zenphoto as "part of it". That is from the times when Zenphoto was "just" a gallery system and not a complete CMS with pages and blog itself.