Alright! 
Here is the deal. For Ubuntu 12.04, I’d recommend installing the 1.8.0 version of Panda3D, and do it with the –everything --installer option.
This method won’t generate any error messages and can find the packages installed in your OS (no more zlib trouble).
As for me, I had do manually remove the files that installpanda.py had created. After this, I just did what I stated before.
Best luck to you.