I would suspect that this is happening because the slideshows are being loaded (and yes, they are there; check the DOM inspector) after the slideshow plugin has been initialized – so, basically, the slideshow script doesn’t “know” these new slideshows exist.
You would have to either run the slideshow script again, either manually, or figure out how to trigger an event to inform the slideshow script that a new slideshow was loaded. Unfortunately, this might be a bit complicated, especially from “inside” wordpress. Another member here might be able to offer some insight…?
The alternative would be to go back to using regular http requests, and not use ajax to load your pages.