VSD is not saving out filenames to the HTML file. It creates a reference to the object:

div.Object734 { position:absolute; top:233px; left:691px; z-index:19; }
div.Object734 table { width: auto; }

But the actual filename is missing.

<div class="Object734"><img src="files/" width=250 height=90 border=0></div>

The image will preview fine, but if you run the HTML file, the image is not there.

It is completely inconsistent. Some files display, others do not. No logic that I can see.

Chris, what version are you using? 5.9.4 is the most current build.

Just downloaded and re-installed the latest version.
Running XP.
Bizarre bug.

Is there anything that might be consistent with the files that do not appear (certain characters in filename)?

Not that I can see. I have tried quite a few things: some images will display (i.e. are saved out) others will not.

If you import an image (which does not save out) and rotate it (any amount), it will save and display.

If you place a rectangle behind it, it will save and display.

I have tried changing the filename and the colour depth.

Nothing.