I think it's important to note, as acrylian said, that these warnings are for settings on your server, not Zenphoto. Zenphoto attempts to make sure that it works as well as it can on your server, and sometimes that entails changing certain settings. There are no set-in-stone instructions that work for every single server to make everything work perfectly.
Your provider should be able to provide you with the necessary information to fix these warnings if you're still worried. The warnings should not interfere with Zenphoto's functionality, however, so it should work just fine regardless.
The problems you're experiencing with the pages being unattractive are because, for some reason, the style sheets don't seem to be properly applied to the pages. Why this is, I don't know, but you may want to make sure that your installation is complete and correct.