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If I take an image and select Watermark the watermark is placed on my small image, If I click on the small image the big Image is shown without any watermark on it. So there is no way to protect the image.

Correct, the watermark will be applied to the image object only, not to linked images.

I just figured out something

I can get it to work the way I want If I select "Standard, watermark", Make sure the large image path is in both The "General" Image path and the Linked path and Both will be watermarked.

Using the "Auto thumbnail" option breaks this, however.