This feature means that the Zoomer does not create any junk files like thumb.db in directories where it was working. This at least saves your disk space from unnecessary files and makes your life easier. Therefore, the Zoomer works fast with large enough sets of image files, even stored in a single directory.
Outside the Zoomer installation folder, the only a single temp file is created for internal thumbnails storage in the standard system temporary directory (as defined in your user profile). While the Zoomer is working, you can find such file in the temp folder, it should be named like ZOOxxxx.tmp or similar. This file is deleted if the Zoomer finished OK. (But if it was not finished OK, you may be found a bug and it is better to send a bug report to the developer, i.e. to me). In its own folder, the Zoomer can create some small text files, which can be used to analyse if something were wrong. E.g. if you find a file lost.txt there, it contains names of files which probably lead to a bug. This can be bad or corrupted images or images not currently supported by the Zoomer. You may try to load such files again with the Zoomer, and if these really are problem, send me a bug report.