Frequency response of common source amplifier and Millers theorem
You are confused because you are assuming that the circuit transformation which you made where you connected the \$C_{gd}\$ to an equivalent (bigger) capacitor to ground is valid at all frequencies. In fact, this transformation is valid only at low frequencies, below the bandwidth of the amplifier.
If you consider this equation at higher frequencies, then you also need to incorporate the fact that the gain itself is frequency dependent. Thus, the equivalent impedance comes to be \$\frac{1}{sC_{gd}(1+A(s))} \$. Clearly, the equivalent impedance is capacitive only at low frequencies and there is no equivalent lumped capacitor at higher frequencies. 
Since the frequency of zero is around \$\frac{g_m}{C_{gd}}\$ which is much beyond the bandwidth of the amplifier, your equivalent circuit is not applicable around that frequency region and will give you wrong conclusions. It's better to work with the original circuit in this region.