Yep, that's all related to individual privacy settings. If an album is private etc, when someone clicks on a linked image, they'll be taken to that image but they won't be able to see anything else in the album (so they'd have to click on each image in turn to see them all in larger size).

BTW, If you use the IMG thumb code, not the HTML thumb code, and have the link back option selected, the image displays on the webpage instead of taking the person to the Photobucket website to view the image.