That is a perfectly normal SD card allocation when an image is first flashed. The reason behind the unallocated space is because it would be impractical to have an image for every size of SD card out there, so the image only contains the needed data to get an OS, and you can then expand the partition to fill the card. the OS contained on the image usually has a tool to resize the partition on first boot, or when the user tells it to.
As for the pi0 retropie not displaying anything, Adafruit's RetroPie image is configured to work with the piTFT or compatible display and not with the HDMI or PAL/NTSC output.
The firmware on the SD card could also need to be updated to support the pi0, as it uses a different device tree than the older pis. The ACT (green) LED should indicate what it's doing.
Firmware since 20th October 2012 no longer requires loader.bin, and the flashes mean:
3 flashes: start.elf not found
4 flashes: start.elf not launched
7 flashes: kernel.img not found
8 flashes: SDRAM not recognised. You need newer bootcode.bin/start.elf firmware.
If start.elf won't launch, it may be corrupt.
Note that 4-flashes may point to a defective SD-card holder, if one or more of the data contacts is intermittent it can lead to this problem.