if the files exist on disk on the web node it should in theory work, but since there are likely multiple web nodes it will not work unless it is synced on all the web node file systems. perhaps the node you rdp into has it but other nodes don't. ie the web node you rdp into may not be the one serving your web request. 

other than that I would look for clues in the log

also I'm not sure png is the best format for folder gallery, I would suggest use jpg

folder gallery was developed long before the existence of azure, as such the design of folder gallery is not optimal for azure web role usage, your mileage may vary in trying to use it there, in fact I would not try to use that myself because I understand the impedance of how it works vs how web role nodes work.