Agreed -- I typically add a note about this above the dygraph, but this is not ideal. Most people skim right over this bit at the top of the page and look right at the chart: "(Mouse over to highlight individual values. Click and drag to zoom. Double-click to zoom back out. Change the number and hit enter to adjust the averaging period.)"
An interface suggestion for you or Dan: make zoom in/out more discoverable. I've used other packages with this style of zoom interface, so I know there's precedent and some people will figure it out. But newcomers will be lost.