Hi Theodor, are you talking about the title below the image in FancyBox when you have set the title position to “Inside”? That is in fact the only position that does not work well with rounded corners. But I might be able to provide a fix…
Could you try installing the development version from http://wordpress.org/plugins/easy-fancybox/developers/ under Other Versions? Download the zip, then uninstall the current version of Easy FancyBox (you can leave the Pro extension installed and active) and install the zip via Plugins > New > Upload…
This version should show rounded corners on bottom left and right of the title area. If not, please let me know and give me a link to your website so I can take a closer look 🙂