Make sure that your galleries are set as Links to *"Image File"* and not to *"Attachment Post"* for Galleries and images. You'll find the settings in the image/galleries pop-up window.

I'm not familiar with your plug-in but you might need to manually add the fancybox class to each image. Another option is to add the code to your theme manually and skip the plug-in. I've posted an answer here: [Any good lightbox-like option that works?][1].


  [1]: https://wordpress.stackexchange.com/questions/34082/any-good-lightbox-like-option-that-works-in-wp-3-2-1/34119#34119