The concurrent loading of the following image beneath the current one is actually by design, so the fade effect knows which image to fade to. If some of your images are very large and even the preloading portion of the code isn't able to preload all of them before the script runs, then you might run into the problem you've described.
I guess you can try loading the slideshow via body onload, Simply change the code of step 2 to:
//new fadeshow(IMAGES_ARRAY_NAME, slideshow_width, slideshow_height, borderwidth, delay, pause (0=no, 1=yes), optionalRandomOrder)
new fadeshow(fadeimages, 140, 225, 0, 3000, 1, "R")
new fadeshow(fadeimages2, 140, 225, 0, 3000, 0)