When you look at Zend_Db_Adapter_Pdo_Abstract, it does things like this in the _connect() method :

if (!extension_loaded('pdo')) {
            /**
             * @see Zend_Db_Adapter_Exception
             */
            require_once 'Zend/Db/Adapter/Exception.php';
            throw new Zend_Db_Adapter_Exception('The PDO extension is required for this adapter but the extension is not loaded');
        }

However, when you look at the setFetchMode() method, it uses the PDO class without checking for the PDO extention presence which can lead to a "PDO class not found" bug. So I suggest to add a check for the PDO extension in that method too (no more methods need that)