docgonzo: Using your image URL, I went over to your site, and I think I figured out what the issue is. (OK, it wouldn't have been that difficult to guess.)
My plugin removes the full-size pop-up link from the intermediate image on the display-image page. If you don't have an intermediate image, then the full-size photo is used directly on the display-image page and my plugin is not applicable since there is no link for a full-size popup.
Others have mentioned controlling the intermediate image display as well, and I put that in the back of my head for future investigation. The FAQ in the Coppermine documentation has used to have a simple hack to only show thumbnails to anonymous users and intermediate/full-size images to registered users. It's a one-line hack to the displayimage.php script. It used to be in the docs but I don't see it right now. It's not ideal because it merely outputs an error when the displayimage.php script is loaded by an anonymous user. Ideally, you shouldn't have the link on the thumbnails page to begin with.
If this describes your issue and you don't want to use the one-line hack (found somewhere - it's been mentioned at least once on the forums), then I guess wait to see if I add this control to my plugin. I'll take a look at it today and do a feasibility analysis.
If this is not your issue, then let me know and we'll do some more troubleshooting.
By the way, there should be a blank line between the User Comment Yes/No and the checkbox for the "display notice". In your screenshot there isn't and I just want to make sure that's not a theme issue where the line breaks are ignored. If you modified my plugin_config form, that's fine. If not, what theme are you using so I can look at that sometime. If it's a custom theme, that's cool. I'm just curious.