Maybe because I don't use the lightbox, but bfore answering I tested it. Here is what I saw:
you grad the widget and you see a image placeholdr for ONE thunmbnail representing the who lightbox. then, in the settings panel, you can add as many images as you want, the actuall images. When you click on the first item, it opens the lightbox fullscreen, with the first image in big and a bar of thumbnails on the bottom: these are the thumbs I'm talking about, they're the images of the lightbox scaled down.
Of course the first image, the thumb representing the lightbox, has to be produced especially for this usage and depic the whole lightbox rather that one image in paticular (unless you have a one lightbox image)
Do I make sense? (sometimes I don't )