The double HTTP call when navigating modal windows is already fixed. There's no further improvements that I can make in CB Gallery it self.

There isn't really anything more that can be done than probably preloading behaviors, which have added a feature ticket to look into. I've no idea why photo loading is so slow on your site, but your site in general for me is slow which could be due to something else installed or purely due to server hardware (you may need better hosting to gain more performance). If you're not using PHP 7 you're also losing performance there as well since PHP 7 offers significant performance improvements. The photos can not be directly loaded in since PHP side access checks are needed so direct access can't be used as a means of further performance gains either.

Is there any schedule of a full improvement of CB GALLERY related to passing images on modal window?

We are of course always making performance improvements were possible. Will review the possibility of background loading the next and previous photos after opening a photo, which will put it into browser cache making it load nearly instantly.

forge.joomlapolis.com/issues/6932

Latest CB Gallery build now released has the preloading functionality. Suggest updating and seeing if that helps a little. I'm not sure what else to do at this point though as the headers for the image output are already as optimized as they can get for now unless there's some techniques am just not aware of.