Hello,
I seem to be having the same problem...

I have a 4700 pix project I am working on now
I did not touch or move the masters of this last one but some how after referencing other pictures from other projects I all of a sudden have random pictures covered by a red layer and /or gray (on that first 4700 project *only*) saying "invalid format", strange, nothing has changed it is still a normal basic .jpg.
I figured there must be a link problem with the originals but it says that "there is no reference to this image"...
Of course I double checked if the masters were where they are suppose to be, they are.
I did as you said, I consolidated them but it tells me "no can't do, since they are not referenced"...argh!
I tried to seperately import them to see, it does the exact same thing to the second one too.

PLEASE HELP! of course this happens when I have a deadline.
Thank you in advance.
G