У меня все работает, в том числе и ajax.
Пришлось закомментировать выброс 403-х заголовков в ZF для работы социалки в закрытом режиме, но это мелочи.

Вот rewrite'ы, кому интересно:

[code]location / {
root /data/socialengine/htdocs/;
index index.php;
if (!-e $request_filename) { rewrite ^(.*)$ /index.php?rewrite=1; }
}
location ~ index\.php {
root /data/socialengine/htdocs/;
rewrite .* /index.php?rewrite=1 break;

fastcgi_pass 127.0.0.1:9000;
fastcgi_index index.php;
fastcgi_param SCRIPT_FILENAME /data/socialengine/htdocs$fastcgi_script_name;
include fastcgi_params;
fastcgi_param DOCUMENT_ROOT /data/socialengine/htdocs/;

fastcgi_pass_request_body off;
client_body_in_file_only clean;
fastcgi_param REQUEST_BODY_FILE $request_body_file;
}
location /install/ {
root /data/socialengine/htdocs/;
index index.php;
if (!-e $request_filename) { rewrite ^(.*)$ /install/index.php?rewrite=1; }
}
location ~* \.php$ {
fastcgi_pass 127.0.0.1:9000;
fastcgi_index index.php;
fastcgi_param SCRIPT_FILENAME /data/socialengine/htdocs$fastcgi_script_name;
include fastcgi_params;
fastcgi_param DOCUMENT_ROOT /data/socialengine/htdocs/;

fastcgi_pass_request_body off;
client_body_in_file_only clean;
fastcgi_param REQUEST_BODY_FILE $request_body_file;
}[/code]