It looks like there is a bug with this release of Zen Lightbox. :(
To get the images (next, previous and close buttons) to display, you'll need to copy the zen_lightbox folder (found in includes/templates/your-template-name/images) to includes/templates/template_default/images. That should sort it out for you. I'll be fixing this issue in the next release.
What problems were you experiencing with Zen Lightbox and IH2?
Glad you like it! To protect your images further you can always add a watermark using IH2.
Do you have a link to your website please?