This is happening because under Pages/Seiten, you have chosen Link to originals via scaled images/Links zu Originalen über scalierte Bilder, but you have not checked Copy originals if needed/Originale kopieren. When you make the album, jAlbum warns you about choosing this setting.
Unless you have a very good reason for doing so, you should never uncheck Copy originals if needed.
ETA: The translation should probably read something like, Originale kopieren bei Bedarf. jAlbum will copy the originals only if it needs to, so you should always let it do so.
Hmm... :-o I've used the Turtle skin for years and now the Tiger skin for a few months. I'm absolutely sure that it worked in the past! But of course I can do it as you told me. My images folder is also located in the JAlbum root folder, maybe it worked by now because of this? Anyway... So I will remove it from there and put it somewhere else...