The warning might be due to the interaction between ZenphotoPress and Zenphoto Shorttags, but it may very well be a problem of the latter.
As for the ZPP error, that's very strange. Once you enter the data path manually you shouldn't see that message at all, not even in case of problems.
You should get something like "Wrong Zenphoto data path. It should point to the filesystem folder containing zp-config.php..."
You don't get the error when entering /home/content/a/d/m/adminnudes/html because ZPP just checks whether you entered a valid directory (this doesn't mean it is the right directory to make everything work, though :D).
Tell me a little more about the directories on your server: where is Wordpress stored? Where is Zenphoto stored? What about the zp-data folder?