I have re-organized the structure of my website. All my albums were moved to new folders.
Now I want to change the URL of the external albums in my jalbum page, but in Edit-Mode it is only possible to view and copy the URL
You can change the thumbnail, but there's no way to change the URL. Delete the album from your profile page, and add the album again. That won't delete the album itself. It's just the listing on the page that has to be recreated.
ETA: See screenshots - delete the album from the thumbnail, go to the detailed view, and add an external album.
It appears that the profile page doesn't try to update the thumbnail image - once you've given the listing a thumbnail, it gets copied, and stays there unless you change it. But I'm not sure - I've done only a quick test.
Instead of using the jAlbum profile page, I think I'd create an "album of albums," using web locations. That would give you a lot more control over the sequence of albums, which ones are marked "new," and so on. That would be easier than maintaining a lot of page redirects.