I believe the path option has to be relative to your webroot... i.e. I don't believe the portions of zoneminder responsible for generating html output are going to be able to see anything that is outside of your webroot folder.
Try setting DIR_EVENTS back to the default of "events" w/o any forward slashes. Now from a terminal create a link, in place of the events folder, that points to /data/zm.
Another alternative would be to just mount your entire data disk directly to the events folder (that's what I did).