I have found a lek!
If you set a password for an album, the albums is protect, thats good.
But, if you click on rss , you will see the photo's whiche is protect by a password!!

Then please open a ticket on our bugtracker with a full description what you exactly did how , what Zenphoto release you are using, which RSS feed settings/option you are using etc. so we can try to reproduce it.