That would be a pretty big change and one I am not likely to implement any time soon.
Having said that, there is a hidden feature that *might* help you. The UI allows you to mark an album as private, but not a media object. However, the media object table in the database *does* have a column named IsPrivate. If you were to manually set this to true for a media object, that item would be hidden from anonymous users.
Roger Martin
Creator and Lead Developer of Gallery Server Pro