Just a quick question (I've already read some posts about this) to see if I understand it correctly

If I would want my images to be 520px wide (max) and only this size (so I have no FullSize image, the 520px IS the FullSize image...), and I resize them with photoshop 'save for web' before I upload them to the server via FTP... and then when I set the image size under theme options also to 520px and both the compression levels for 'image' and 'full size image' to 100... would that mean ZenPhoto would immediately serve this image without any further processing or compression? Except ofcourse to create a thumb...

That should work.

Just a note on Photoshop's save for WEB. It removes all EXIF data. That may not be what you really want. You can use the Photoshop Image Size function to change the size without any loss of EXIF.