Hello,

Unfortunatelly it is a bug in current version. We're sorry for the inconvenience.

However, there is quite simple workaround.
The problem is really in the mentioned part of the condtion in MediaFilePreview.ascx.cs, line #153.
You will need to change it from File.Exists(mfi.FilePath) to File.Exists(MediaFileInfoProvider.GetMediaFilePath(mfi.FileLibraryID, mfi.FilePath))
Please see the resulting code below (rendering code under "//lightbox mod" comment):
...

if (this.DisplayActiveContent)
{
    if (ImageHelper.IsImage(mfi.FileExtension) && File.Exists(MediaFileInfoProvider.GetMediaFilePath(mfi.FileLibraryID, mfi.FilePath)))
    {
        // Images are always processed by secure page
        if (!this.UseSecureLinks)
        {
            if (completeUrl)
            {
                url = MediaFileInfoProvider.GetMediaFileAbsoluteUrl(si.SiteName, mfi.FileGUID, mfi.FileName);
            }
            else
            {
                url = MediaFileInfoProvider.GetMediaFileUrl(mfi.FileGUID, mfi.FileName);
            }
        }

        //lightbox mod
        int[] dim = ImageHelper.EnsureImageDimensions(Width, Height, MaxSideSize, mfi.FileImageWidth, mfi.FileImageHeight);
        Width = dim[0];
        Height = dim[1];
        this.ltlOutput.Text = "<a href=\"" + url + "\" rel=\"lightbox[gallery]\" title=\"" + mfi.FileTitle + "\"><img src=\"" + url + "\" border=\"0\" width=\""+Width+"\" height=\""+Height+"\" /></a>";
    }
    else ... 

...

There are some differences from the tutorial in devguide, the 3 lines of code under "lightbox mod" serve just to ensure that image dimension variables are properly set (and they're used in modified output text).

Notes:
1) Ensure you have enabled the "Display active content" property for the Image Gallery webpart.
2) You could use webpart General/ HeadHTML webpart to link lightbox scripts, and it's recommended to use separate scripts, not these from Lightbox webpart's files folder.

Hope this helps.

Regards,
Zdenek C.