I finally have SIG PRO working fine…I had problems with thumbnails not showed.
I have one of the gallery set to single thumbnail with format such as: {gallery}some_folder/sub_folder:200:160:1:2{/gallery}.
It works fine as far as showing the pictures. But that single, “pilot” thumbnail has word “Title” on it.
Than when I open the pictures they all have:

Description
You can use HTML as you can see!

I read SIG PRO documentation about Individual caption/labels on popup images section but to me as a newbie to joomla it’s not really clear.

“You can freely use HTML inside the description”

and

“After you edit the labels.txt file for a gallery, you would end up with something like:

filename1.jpg|Trip to Italy|You can see us here in piazza di Roma
other_filename.png|caption title|and this is another caption
with some HTML <b>in it</b>!
trip_to_canada.gif|caption title|SIG Pro is pretty cool!

That is not really understandable to me.
Can somebody lead me trough this please?