I have CPG 1.4.12 installed. However, even though I have permissions set correctly; it will not allow the Administrator group to create personal albums. I tested this with a normal user account by creating a personal album, then upgrading that member to administrator.
The account then lost the ability to create a personal album, but it can still upload to the album that was created when it was a regular account.
Admins need to use the regular album manager to create their personal albums.
In album manager, choose "* My gallery *" as parent category and create your personal albums there.