Hi there,
Is there anyone who can confirm whether an integration between wordpress and zenphoto (both on latest versions) fully work? and how complicated it's to get it done?

There is no full intregration with Wordpress. There are basically two options:

1. Style you zenphoto theme to look like your wordpress site.
2. Use http://www.zenphoto.org/2008/01/hacks/#zenphoto-as-plugin

Please do a forum search, there are already lots of threads.

Also look at:
http://www.zenphoto.org/2008/01/wordpress-plugins/

I followed this instruction with a few adjustments to integrate Zenphoto into Wordpress:
http://tech.einaregilsson.com/2007/08/06/integrating-zenphoto-into-wordpress/
Acrylian mentioned this way as option number one.

For a non coder like me it was quite tricky
But what I'm missing very much is the Single Sign-On feature (discussed here http://www.zenphoto.org/support/topic.php?id=1038&replies=15).

In conclusion: it is possible to combine Wordpress and Zenphoto, but you need to edit the code. So it depends on your knowledge and patience