Just thought I'd post a fix for this:
Change line 348 of fancybox.php to:
$mfbfwadmin = add_submenu_page('options-general.php', 'Fancybox for WordPress Options', 'Fancybox for WP', 'edit_plugins', 'fancybox-for-wordpress', 'mfbfw_options_page');
In debug mode, it was throwing an annoying "has_cap is depreciated" error, so I changed the "10" to "edit_plugins".
Hope that helps someone!
Thanks moskis for an excellent plugin :)