Oh, weird! I'm not seeing that in my version and it's not in the changelog.
If you look at line 47 of nivoslider4wp-show.php, it looks like it doesn't actually get the option from your settings but it should be showing:
controlNav:true, // 1,2,3... navigation
controlNavThumbs:false, // Use thumbnails for Control Nav
controlNavThumbsFromRel:false, // Use image rel for thumbs
controlNavThumbsSearch: '.jpg', // Replace this with...
controlNavThumbsReplace: '_thumb.jpg', // ...this in thumb Image src
I know other slides let you move the navigation around by having a different shortcode / function for it but I don't think that's the case here.