It sounds like Auto Thickbox and WordPress 3.9 have a style incompatibility.
If you go there and clic the first image, you will see the caption is bigger than expected, and the close box is upper right instead of lower right.
Step to reproduce :
- WordPress 3.8.x + Auto Thickbox : ok
- upgrade to WordPress 3.9 : ko
By the way, thank you for this great plugin.