How come Gabe didn't tell Zach about his gay brother?

You answered your own question. It wasn't a big secret. Zach already knows.

For example, when the guy in the bonfire made that "are you a f*g?" comment, notice that Zach didn't ask Shaun why he left. He simply glared at the other guy before getting up to join him. Because he knows that Shaun was gay, and that comment was inadvertently insulting to Shaun.

And on the after-surfing scene, they were talking about the books, Shaun was surprised because Gabe never told him that Zach reads his books. And Zach never told Gabe he did. You probably misheard the dialogue when Zach said "When is it coming out?" He meant the book, not Shaun being gay.

However, you're right that the conversation was also about something else. When Shaun said "I never knew you knew about me", that was actually about Gabe telling Zach that Shaun was gay and writes books for a living.

Zach was deliberately avoiding having to admit that he knows Shaun was gay (notice he looks away and says "what's there to know about"). Because it would color his own interest in Shaun's books (and Shaun) in a weird way. Tantamount to admitting that he had a crush on Shaun, that's why he reads his books. The gay big brother of his best friend whom he was never really close with. Something a straight guy would not do. Shaun at this point probably already knew though. Zach's interest in him probably set off his gaydar by this time.

Neither Zach nor Gabe had a problem with Shaun being gay. It was simply a non-issue that was common knowledge. Zach's hang-up was in realizing that he himself was also gay and likes Shaun that way.

If remember correctly the conversation between Zach and Shaun in that beautiful reverse tracking shot, there is nothing to suggest that Gabe told Zach that Shaun was gay. Shaun expresses surprise that Zach had read (and liked) his first book.
Shaun: "You read it?"
Zach: "Who knew there'd be so much drama behind the gates of Pacific Bluffs -- I never knew."
Shaun: "You never can tell what's happening inside."
Zach: "Yeah, that's what I liked about it."
Shaun: "Well, it is fiction. I did embellish a little."
Zach: "Changed a couple of names?"
Shaun (laughs): "When did you read it?"
Zach: "When it first came out."
Shaun: "Funny. Gabe never said anything."
Zach: "I never told him. Why would he tell you?"
Shaun: "I just never knew that you knew about me."
Zach reacts a little nervously to this by looking away for a moment and tries to change the subject. "What's the new one about?"

This suggests to me that Zach had learned from Shaun's first book that it is semi-autobiographical in nature and divulges a good deal about Shaun's personality and that:
1) Zach does not disapprove of what he read.
2) He suspects that Shaun is gay, irrespective of what Gabe did or didn't say to him on that subject.
However, Shaun and we, the audience, do not yet specifically know anything about Zach's sexual orientation, which is what makes this such a compelling moment. But we are about to find out.

Jeanne had probably picked this up on the gossip circuit but never mentions it until she realizes that Zach is spending a fair amount of time with Shaun.

It's interesting in the scene that follows at Shaun's home that Shaun is looking through Zach's art portfolio, expressing admiration of his artistic ability just as Zach had earlier expressed admiration for Shaun's.
But Zach reacts strongly and tries to grab it away from Shaun: "Whoa, nobody looks at this!" as if it might divulge too much about Zach. Shaun persists and Zach relents. Shaun looks though it and expresses admiration for what appears to be a drawing of Cody as an unhappy, lonely little boy. Shaun says: "Awesome" and we see an expression in Zach's eyes looking at Shaun that is unmistakable. That is the moment that draws them together.