I ran into this issue and it was actually multi-fold.
Issue 1) Shared host script timeout was 30 seconds, NextGen scripts may take longer than this when working with large or many images (it's a 'the server is busy thing') and well, NextGen does not realize this and some things like thumbnail creation are not performed or maybe the exif data was not extracted...try to fix this by deleting the gallery at issue and only doing one pic or a few at a time. When editing, save after each change, making many edits then saving can also cause this...save small bits...
Issue 2) File size. Try to optimize the images for web. Also review the settings in NextGen options for thumbnails.
Issue 3) Browser..try a different browser. Also, refresh that page after you have made any site changes (not in admin mode, but when you are looking at your site and not logged in).
Tip: Note: This applies to the NextGen functions that use the static thumbs only, some functions create them on the fly)
The thumbnails can be created by NextGen, but they do not have to be...they are the same name as the original images with a thumb_ appended and re-sized smaller...if you continue to have issues these thumbs can be manually created and then overwritten to the thumb folder for the gallery using ftp. Once you have a gallery with images in it, use your ftp client to review the folders for that gallery. Download the gallery folder images, copy and re-size, rename accordingly, upload 'thumbs' to the thumbs folder within the gallery folder (overwrite)...as you used the original images, the thumbs should also include the exif info like caption, title and description (which you used a photo application to include prior to actually uploading the original files as then those fields are auto-filled in in NextGen, yes?) If this is ALL done correctly, all will be well when you add the shortcode.