No, it is YOU who do NOT UNDERSTAND.
If we cache albums when a user with the password views them, then they will be forever in the cache. so THE ONLY WAY that they do not end up in the cache is for them not to be cached.
So you ARE asking that images in protected albums not be cached.
I suggest you go back to school on how browser clients access the WEB, how PHP works and even how Zenphoto works. It might suprise you, but when an image is first uploaded, there is no cached copy of it. So when you first view it, a PHP script must provide it.
So, if you want a PHP script to provide the image it will have not to be cached. If it is not cached, a PHP script will indeed provide it.
But as said before, this is really a bad idea.
But you can always look for a different WEB gallery that does just what you suggest. There are ones that are not Filesystem based. Those are not Zenphoto, though.