Might seem a bit silly (its happened to me so I am talking from experience
) but are you sure that it hasn't saved the images somewhere else? I'd suggest searching for "Frame 1" and seeing if anything pops up somewhere.
And with the Filter Wheel, I depending on which driver you are using it does hold up the software (like it has frozen) until the filter wheel has finished doing it twice rotation thing. The normal driver does it, just means that it resets after every connection. The RS232 driver doesn't, just connects and assumes that it is on filter position 1 even when it isn't. After the first move to another position it finds itself but it doesn't pause SGP upon connection.