I can confirm that Zenoss 3.x.x works fine in Ubuntu as that is my platform for running it. I will switch over to CentOS when I am ready to migrate my Zenoss deployments to 4.x.x
I have a rather long build recipe for my Ubuntu so I can't really tell which step fails in your particular scenario.
For example after installing mysql, I edit the my.cnf file to modify 'bind-address = 127.0.0.1' to the actual IP of the zenoss server, don't know if that is where you run into issues.
Manuel