Ok, looks like we need a short explanation.

1. Social media icons – those are outsourced elements loaded via JS script. We’re unable to control that element, no matter where it is used – in a lightbox, it page content, in site footer etc.
2. If someone clicks a photo before the page is loaded: The lightbox script (and any other JS scripts in WordPress, and anywhere else) is fired when the document or element (for example an image link) is ready. All the scripts in this and our other plugins are included using WordPress API: http://codex.wordpress.org/Function_Reference/wp_enqueue_script. That how it works in general.
3. Hide flash option has nothing to do with background opacity. The thing is your Shareaholic icons shadows have extremely high (for no reason) z-index parameter: z-index: 100000. In order to hide it below the lightbox modify that in your theme CSS to something smaller (like 100 or so)