I am using 1.4.3.1 [10590] (recently installed so should be pretty clean). I am using default theme and have enabled jcarousel plugin. In jcarousel_thumb_nav options, I checked the image box in the default theme. I left everything else alone. Clicked Apply. I do not see the carousel on the image page.

Am I doing something wrong?

The only distributed theme with explicit support for that plugin is the Zenpage theme. Please refer to the plugin documentation for how it is used.