This plugin uses the filter "theme_body_open" of the zenpage theme to set all empty user albums to the unpublished state.
It is tested and working on all Versions including the current nightly build (zenphotoV1.4.2-DEV).
Link to the plugin: http://www.zerberster.at/unpublish_empty_albums.rar
This is just the download, I had no time yet to provide proper documentation, but the file is well documented itself and easy to use. Just activate it, make sure the filter exists, and you're ready to go.