It is no longer possible to have the shared image's thumbnail displayed in the pop-up share window due to limitations imposed by Facebook on what data can be passed via their share URL. Only one thumbnail (the og:image) can be used per gallery. (The link will still point towards the correct image within your gallery.)
You should be able to use a plugin's own configuration options to set a particular image to use as the og:image on your web page. Facebook should then use this image as the gallery thumbnail in the pop-up sharing window.
However, many plugins automatically choose an image to use as the og:image (such as the featured image for the particular page or post) and may not allow you to override this.
Try the WP Facebook Open Graph protocol plugin.
Once activated, go to 'Settings -> Facebook OGP' (from the WordPress Dashboard), enter your 'Facebook User Account ID' and the URL of the image you want to use as the og:image in the 'Default Image URL to use' text field and select the 'Force Fallback Image as Default' checkbox (to ensure that this image is always used).
After doing so, you may need to clear Facebook's own cache of your web page by entering your web page's URL into Facebook's Debugger (otherwise, Facebook may continue to use an older image that was previously used for the shared thumbnail on your web page).