I understand what you're saying about the current limits of the software.  I'm just saying how it should work IMO.  You shouldn't be doing it manually.  You should have a couple of flags to set on each gallery posting: thumb-violation and image-violation.  If the image-violation is checked, then it works as the "image under review" does now.  If the thumb-violation is checked, then the gallery index page should be generated with the IMG tag pointing to the Content Advisory or some Thubnail-Under-Review icon.

But I bet you can't get the software to do that right now.  So, just file it away under the "Gallery Wishlist" heading.

Dan