It sounds like the names of your images aren't actually sequential. i.e. every single number has to be represented if you're going to load it as a sequence, if you're skipping any number, then it thinks your skipping frames in that sequence, even if that's the exact set of pictures you wanted to use for the effect. You may have to batch-rename the image files to get them to end with sequential numbers.
It sounds like your other problem is the speed at which it plays back, which would have to do with the frame rate of your composition (Composition > Settings), and the assumed frame rate of the stills. Still photos don't have an embedded frame rate like video; they're just a bunch of images. So you have to tell AE how to handle this by right-clicking on your imported image sequence and going to "Interpret Footage> Main", and choosing a frame rate that makes sense for you.
I hope that helps!
What Kevin said - AE always wants directly sequential numbering, you can't leave out a single file. if your camera uses an odd numbering scheme or you have thrown out files, you need to compensate for that by renaming the remaining files. If that becomes to tedious, I suggest you simply import the whole folder as still files and drag&drop the files onto the new comp icon, defining their duration as just 1 frame and letting them be sequenced. You can then do whatever you want with taht pre-comp and need not worry about missing frames. Just keep in mind that sequencing order is eitehr determined by numbering, too, if you marquee select all the files in the project window or by their explicit selection order using Shift and Ctrl keys, so if you're not careful, you may get a wrong order still.