With my paysites fhg's, I have them coded as is displayed in the first example and my affiliates are dong phenominal regarding turning over sales. My TOP affiliates are bringing in nearly 20 to 30 sales per day....and that's PER AFFILIATE. Believe me, my fhg's are converting very well.
What does it really matter how the fhgs are linked? As long as they are linked correctly with your affiliate code embedded into the url, you are still going to get credit for your sales.
However, if it will make me bring in additional sales by linking the way that you say, I would be interested in speaking with you about this. I have been aware that that I could link the galleries differently but I just never thought much about it before since my affilates are doing so well and have never complained about how the fhg's are.