[setishock]

You're missing the point there.
You can copy and paste text all day long because it's text. And text is treated as if you typed it in from your keyboard.
Images such as screen dumps have to be saved first as an image and linked to so the software has something to referance and then display. As you have seen the dump if applied directly to a post is just showing the code that is the nuts and bolts of the image itself.
And before you say it should do that, none of the forum software I have used, and that's a bunch, has the ability to covert dump code to an image. Maybe some one could write a mod for you to save those few little extra steps.
Consider using snipit which is built in to the vista os.