Trying to use zenphoto I found it does not have an option to have the admin tasks in https and the gallery in regular http.
WordPress is doing this and reading Rian’s article: SSL and Cookies in WordPress 2.6
I had a better idea on how it works.
Before coding, I also read How to Properly Provide Mixed HTTP and HTTPS Support from mikeperry’s blog.
And this is basically what I implemented.
For once the result of my work is not hosted on my blog but directly on zenphoto’s trac : The ticket with zenphoto patch to allow both http and https.