I agree its a bit strange but then the phone does seem to have 'quirky' ways - not that I don't love it all the same.
Once I had discovered how to find them I then went on to create some subfolders for photo's using the PCcompanion and moved them into there and once they were in these albums/folders the phone could 'see' them.
I don't really understand the whats and wherefores, I'm just a simple user not one of these xda type guys who seem to grasp the more technical side of the devices.
Glad my tip helped tho, its one of those things... simple when you know how. Its just not always that clear when you start off.
RRxx