There can be 2 causes of this problem.
1. When you click Save or Save As in My Pictures 3D Album, it doesn’t save all the photos, as otherwise it would be too space consuming. It saves only paths to photos. So when you open saved gallery again you can get “Loading Error” if any photo was renamed or removed.
2. In the latest version new bug has appeared. It reveals itself when photos has long file names or long file paths. So now moving your photos to e.g. any folder right on drive C: should help. Certainly in the next version of My Pictures 3D Album this problem will be fixed.
Thanks to Augusto Vazzoler for useful observation!
