Red Xs usually indicate that the image files do not exist on the server. I recommend the following:
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Generate all gallery files in Step 5 (uncheck "modified files only" option)
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Preview gallery making sure it displays fine
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Upload all files in Step 6
View uploaded gallery and see if there is still an issue. If so, it could be an indication of a problem with your server, like maybe you are over your quota and the server does not allow new image files to be copied over. In any case, if you require further assistance, submit a support ticket at http://helpdesk.shozam.com.