Since Zen is geared towards helping new users learn how to theme Drupal, I could see where it is confusing for new users to know that they must create the "themes" folder under "sites/default/." Although I'm fairly technical, I had to double check Drupal.org to make sure the Zen README instructions were not out-dated because I didn't see the "sites/default/themes" folder but did see the "themes" folder at the root of the install.
My suggestion is to make the wording state:
1. Download Zen from http://drupal.org/project/zen
2. Unpack the downloaded file, take the entire zen folder (which includes
the README.txt file, a zen_classic folder, etc.) and place it in your
Drupal installation under one of the following locations:
making it available to the default Drupal site and to all Drupal sites
in a multi-site configuration
making it available to only the default Drupal site
making it available to only the example.com site if there is a
sites/example.com/settings.php configuration file
Please note, you may have to create the theme folder under "sites/all/" and/or "sites/default/"