I installed WP Show Posts Pro, and now try to make a gallery. I have everything installed exactly like in the movie on your site, but the gallery remains empty. No picture is displayed. I assume that the gallery retrieves the pictures from the page or post it is installed on.
I think i do not understand exactly the way WPSP works.
I made a posts-list as you showed in your video (gallery).
Then i made a page and placed some pictures in it and copied the shortcode of the posts-list in that page.
One picture i made featured.