Okay, so, we could think that the links are simply wrong. And the solution would be to verify that the link sends you to the same image the thumbnail is generated from.
And... It is. However, until they solve that, I have some info that could be useful, some extensions to download images DO grab and download the image in full resolution by just seeing the gallery thumbnails. So it is not so simple as "the links being wrong", if that helps.
I'll not say which extension unless the admin asks me because I don't know if it's allowed to advertise things or anything.
Thanks.