Hi Tarantoga,
I think you'll find this normal behaviour. Once you move/copy an object from one place to another without its associated object, the link has to be broken. If you don't want the link in your actions to be broken, then copy all the associated objects together in a Frame to the gallery. -- That way you can have frame templates, that can be easily recalled from your gallery. (HELP gives more details about this)
But in addressing your specific situation, there is a way to obtain what you want though -- by using script...
e.g. 'Button1' has a script action: Image_1.Show()
If you copy that 'Button1' to a gallery, then import it to any page, it'd work on any object named 'Image_1'.
I wouldn't recommend doing this in normal practice though, due to possible conflicts of actions if you lose track of things... I'd stick to the former 'frame' method above, when dealing with galleries.
I agree though, it'd be good on an object's action if a tiny cross icon appeared beside broken links. Maybe something for a future version perhaps, but I'm not sure how much this would be needed.