Got the same problem on my development environment. The problem is that the code produced looks like:
<a href="https://example.com/wp-content/gallery/example/example.jpg" title=" " rel="lightbox[]">
<img title="example" alt="example" src="https://www.example.com/wp-content/gallery/example/thumbs/thumbs_example.jpg" height="125" width="125"></a>
To be more precisely, problem is that the keyword (or variable?) %GALLERY_NAME% is replaced with the empty value, not the gallery name, so the rel attribute of link looks like this:
lightbox: rel=”lightbox[]”
thickbox: class=”thickbox” rel=””
You can see it on the examples shown by RGGoode.
