I just completed chapter 4 of Merlin's route, and all of these CGs are in his route.
I have already got many of them since like you say some appear at the start but why can't I fond them on my collection? Beside the ones in the prologue I can't find the others ones....like the first apparition of Perceval or Guinevere
I'm sorry, but I haven't played this game myself. I got the Walkthrough and all CG's from Debra, so I'm sure she can help you better than I can. Just visit her website here: http://shallwedateotaku.weebly.com/