As a general rule if you experience issues with something in your own theme try it with a standard theme. The Zenpage theme would be appropiate for that. If it does not happen there it is something related to your theme. If it does happen as well we probably have a bug.
Udpate: There was a bug if you have dynamic albums. It is not possible to link to the first image of an dynamic album directly so it is now disabled. That is fixed in the GitHub build.
Just saw your update: I will try the Git version (once I have found where to download it from...)
In the mean time, I made tests on the image page of the Default theme. The result was different, but it didn't work either: as soon as I add this 'link-to-first-image' parameter, I got only one link to the gallery root, no album/sub-album appears in the list.
You cannot download individual files, just the full build using the zip button (master). It is generally not recommend to use individual files from newer versions on older ones (1.4.4beta vs 1.4.3.x) which can involve other dependencies and cause errors. Always update the whole thing! In this case it should be no problem though.