Thanks for using cyclone slider. Please be advised that the slider does not delete images. When you delete a slide in cyclone's admin settings it just un-assigns it from the slideshow. This is a safe-guard mechanism in case you are using the image somewhere else in wordpress.
Anyways, looking at the link you provided, it appears that the browser is having a problem loading all your images at once just from the sheer size and numbers of the photos. Each photo is around 100-500+ KB in size.
Sorry, but currently cyclone does not have a solution for this but will surely be addressed in the next version.
For now you can optimized the photos to lower their file size. Or limit the number of photos displayed.