I don't have any knowledge of prohoto4 but going by what you mentioned:
I have had both Sumgmug and Zenfolio -
I use Zenfolio currently, but only for the gallery portion and I do use the partnership they have with Mpix for prints for my customers. My main page is something I created and host on a separate domain, but one would never know the difference, as I made the gallery pages in Zenfilio to match my theme on my separate main page.
No, you do not have to have a separate domain for either Sumgmug or Zenfolio and they too have templates that you can use to create a main page as well as make matching galleries. You can have a separate domain name and point that to your Zenfolio (again no one would know the difference) or as I have, point your gallery links from your main page to the Zen galleries themselves.
If you were to just use the Zenfolio templates and not have a separate main page and domain, depending on how picky you are with your own work, have it done in a matter of minutes. When I first did the trial, I had it set up in just a few minutes. This of course, not including the photo upload times.
See Joey Ricard Photography