Jhon, you are indeed right. If you have, for example, 3 images, browser will download one image and get two other ones from cache. That one image which was downloaded doesn't necessarily has to be the first one. Most likely this image is the one that was active at the moment the page refreshed.
Oxwall uses
slideshow plugin for jquery called SlideJs (slidesjs.com).
Source code files are located in ow_plugins/slideshow/static/js
Unfortunately that is the way this javascript works with its own pros and cons and we can't change this. But you are free to modify the source code as you wish to fit your own needs or create your own slideshow code ( example:
http://www.javascriptkit.com/howto/show2.shtml)