Your image links doesn’t have rel=”lightbox” attribute applied. I think those are not WordPress native galleries but a custom gallery, that can’t be automatically handled by the plugin (this settings are just a shorthand if a theme is using native WP functions and solutions). Other idea is that your theme is using WP gallery in fact, but that gallery output is being modifed – this can be the reason also.

Please check how this is done in your theme or ask your theme developer to help you out with this.