Do you have the file C:\inetpub\GalleryServerPro\App_Data\GalleryServerPro_Data.sdf present? And does your IIS app pool identity have modify permission to that directory?
At any rate, if you are going to use SQL Server, you can probably work around the error by deleting all references to SQL CE in web.config (the membership, roles, and gallery data provider sections and the SQL CE connection string). That should prevent the SQL CE code from firing up. BTW, you also don't need the SQL CE dlls in the bin directory, but their presence shouldn't cause an issue except possibly a slight additional delay during app starts.
Roger Martin
Creator and Lead Developer of Gallery Server Pro