Hi there,
depends where you are saving them to. What you got to remember is that good old magix uses non destructive editing. This means you set up a slideshow, maybe a dip file, think its complete, but actually its only full of references, no pictures. The pics need to be there where they were when you first make a slideshow. If not, the program can literally not find the original. Which is what happens when you move the pics around.

Simple enough really. I just save my pictures in a folder on my hard drive and leave them there. Always works