It's likely caused by a few lines of missing code in the template files. The release version of Plogger 3 handles the download-selected form differently than the beta did. Which version of Plogger are you using, which theme are you using, and have you tried downloading while using different themes?
I have found that the theme Air works great in Beta 3 for downloading photos....have been struggling to find answers. The default themes do not have the download working for some reason.
I had a somewhat different experience. I'd use the download function and get a zip file that, when unzipped, indicated no content. However, when I checked the data size of the zip file itself, it contained several hundred K, indicating that the photos actually were in it.
What I discovered eventually was that Plogger zips files in a format that isn't compatible with the default unzip program on my computer (Mac with OS X "Leopard.") But if I used Stuffit Expander, the file would unzip correctly.
So, you might test this with your zip files. If you find that the pictures are being zipped but do not unzip correctly, as I did, then the easiest thing (until Plogger's zip code is fixed) might be just to suggest that your users get Stuffit Expander, which is a free download, and use that to extract the files.