The problem here is that you're referencing your images in the source using all lower case file names, but the image files themselves have an upper case extension - you need to change one or the other for it to work. It's also worth upgrading, this issue has been fixed for a while now with newer versions of Greenfoot, where you get warned about this at compile time.

No problems with lag from this end - this is with a fairly low spec laptop (1GB RAM, Turion dual core something or other - definitely nothing special.)

Wow. Definitely showcase material! I prefer the default setup to the others - does that make it number 5? It'll be great to see this develop!

Nicely done! Of course you could add lots more - have a look at other snake games on the gallery if you want some ideas. My only criticism at the moment is that sometimes the dot appears underneath the snake - perhaps modifing the game so that it only appears in places where the snake isn't would be an idea?