Interesting. Colin, I've not been able to use the arrows for images that are on another page of the same post. I get 20 entries per page on my machine.
It could be that it only works for images in the same page of a thread; I use 40 posts per page so probably wouldn't hit the issue anywhere near as often.
Thanks to Colin and Frank. I changed my setting to the maximum 40 posts per thread. I hereby declare that all threads exceeding 40 posts should be permanently closed.