I'm bumping this one back up to the top of the forum in case it gets lost down the page.
I don't use Serif Web Plus and so I can't offer you a quick fix I'm afraid.
My first thoughts are that the images are getting left behind when your gallery is produced. In many web authoring applications you have to manually import your images into a folder within the web site structure you are working on. Most good programs will import them for you but some kind of lose the images along the way. So my guess would be that the gallery images are left behind in their location on your own computer rather thanbeing imported into the web structure and then published as part of the site.