I made this slide-show as a trial:
I as not too efficient at my lay-out, not knowing exactly what I wanted. I know there are better ways to do this, but there it is.
All thumbs are buttons, there are no 'states'. I did each edit in a round, for example first adding the roll-over, then later doing the transitions. When I got to the transitions:
If one looks closely one will see that many photos do not properly fade-in. There was not an option for these images! Many had TWO fade-outs. If I delete the offending photo, and re-import, I can do a fade-in. However this is very annoying! I am confused about why there is what appears to be an unintended effect.
I was being careful about which transition I might touch, but honestly they are all buttons, so there is simply an over state (and 'down', similarly, copypastaed) defined.
Nice photos! With the structure as you outlined, you are just going to have to carefully look at each button and it's Rollover and Rollout interactions. Are you triggering the fade in and fade outs using action sequences? The only advice I can give it to walk through it again to see if you can spot the differences between the working ones and the non-working ones.