An image which is currently selected does not have its corresponding thumbnail link disabled.
If an image is requested, then the link will naturally lead to the location of the image on the web server. However, depending of the value of the imagePreloading configuration option, your browser may have the image cached.
Try the following.
Create a sample gallery with large images (large enough to have a significant and noticeable loading time, for example several MB each) and configure it so that the gallery has at least two thumbnail pages.
Set imagePreloading="PAGE".
Upload the gallery to your web server, load the gallery in a browser and go to the first image on the second thumbnail page.
You should notice that the image takes a long time to load.
Now select the next image (on the same thumbnail page) and then select the first image on the second thumbnail page again.
You should notice that the image appears instantly this time (rather than being loaded from scratch).
I hope this makes sense.