Ari,
Same problem when I use remote content for the swf file.
Tried with images as the type. For Caption template use your first two options {$Title} and your csv file. Used my directory for images. Used keep image size and Self window as parameters and thumbnails work.
The picture overflows the bottom of the lightbox. If the image is smaller than the one in the attached image then the bottom overlay extends beyond the box on the right. But the border seems to work fine.
See picture as I'm going back to the swf file as input.
Jonathan