1) Create new album and add several images as links (that is they will not be copied to project folder).
2) Double-click on the "Thumbnail" in the "Folder Properties" section and in file browser select one of the images you already added. Image is immediately removed from the album.
Expected behavior: image should not be removed from the album.
I just figured out a workaround: right-click on the image "Explore" section and select "Use as folder thumbnail" in the menu - image will remain in the album. However, approach I described above should work the same way.
Click and drag the thumbnail you want to use from the main Explore window to the Thumbnail box on the right.
ETA: And no matter what I do, I can't replicate the image removal you're reporting. You must be doing something that you're not telling us. Please provide more detail, like maybe some screen shots.
ETA2: Ah, I see. If you double-click the Thumbnail box, then navigate to the original image in your file system, and choose it, jAlbum excludes the chosen image (it doesn't delete it). This is the expected behavior - it's intended to let a user select an image to use for the thumbnail or the theme image, without having that image appear in the album.