Yeah, this annoys me too. I'm not sure why it's the case, although it might be related to this.

Fortunately, Outlook MVP Robert has a workaround: http://www.sparnaaij.net/Howto/saveembeddedpictures.htm. It requires VBA but he walks you through it step by step, including screenshots.

He has some other tips for Outlook on his website. Also don't forget Outlook MVP Diane's great outlook-tips site.