About the only thing I heard ZUN having a problem with when it came to fanworks was the Anime being done by Maikaze. And his reasons seemed more because he thought the Anime would attract people to the series that didn't play the games, thus circumventing the games entirely.
All the doujin, merchandise, and fanworks just serves to hype up and promote the game and series even more. All of his profits are from the games themselves.