Ugh.. it seems like using saves rewrites the CG event gallery, so it's impossible to get all CG...
Really. No matter what you do, you will lose gallery events. Either you win the game on the first playthrough(clicking the right town parts to engage in battle, and defeating the boss), and miss all the battles (and watching the victims getting raped) on the second playthrough, you still miss 3 CG (2 of them being the regular fights). But if you replay the winning part on a 3rd playthrough, you lose all the CG you earned by losing the 2nd playthrough.
Edit: I do not know if this is because I am playing on a non-japan-localized installment of Windows, but the other games have never done this to me before (except one of the futanari quests that crashed), but I will try it on a virtual console