There is a bug in the software. If anyone tries to add photos to a thread in the photo gallery it gives just the effect you are seeing. For an as yet unknown reason, adding photos to a thread changes the filename of the thumbnail (I think just the extension Ian Wegg said). But, the link to the thumbnail is not changed, so you get the 'file not found' red cross.
It's a known problem where a fix is still being sought.
So, in Photo Galleries, do not try to add more photos to a thread, just start a new one