We have a page that contains a several XHTML properties with values that contain links to images in page files. These images don't get exported so when we import we get broken image links.
We added a url to image property to the page type and set the page value to point to one of the page file images. Now we get all the images included in the export file.
I think this is a bug :)
Would be great if you should send in a support incident on this, giving the same information as in here and some steps to produce and what system you are on.