It used to allow this functionality and I can't imagine it would have changed.
Asset Manager has been disabled during testing with no change in results.
--------------- Added [DATE]1397414564[/DATE] at [TIME]1397414564[/TIME] ---------------
In the past, I have had Standard Editor and WYSIWYG controls enabled for quick reply in the Message Interface Posting Options.
If I set that to Standard Editor only, it will attach the images as a link
PHP Code:
[ATTACH=CONFIG]19419[/ATTACH]
but will still not save them to the database. This is essentially the same problem, but I am providing as much information as possible to try and help trigger a solution.