Here is the reply I got from RIM support. This seems like an interesting 'lack of a design feature', and I'm going to send in a feature request to see what can be done.
...we have tested this situation with the BlackBerry Enterprise Server and embedded images within messages. The BlackBerry Enterprise Server is unable to strip images embedded within an email message and attach them to that message. This is not a bug but is simply a lack of a design feature. As a result, embedded images will be completely removed from an email message sent to a handheld and the text '<<image>>' will appear in the image's place. At this point there is no way to have these type of embedded images arrive onto the handheld.