I am going to hazard a guess that it is because you have to reload to access another page.
There is a setting I imagine you’ve selected in NextGen Options on the gallery tab “Add hidden images”
Perhaps, when it adds the images, it doesn’t load all of their info.
There is a small possibility it will work if you use the following option “Enable AJAX pagination” but that doesn’t work with thickbox.
The easy solution is to just disable “Add hidden images”. It will speed up your page, and you won’t have the situation of an image without a caption.