as far i can tell, 1.3.3.13 does not really support embedded images.
it may be working better in 1.4, the upcoming release but it's not supported there, either.
the first version which will be supporting images embedded in a .sla will be 1.6 (the feature is already in 1.5svn), but (IMO) you normally should not use that feature.
in DTP, you should always link your images!
p.s.: if you right click on an image frame and load a picture it will get linked. this is the good way to do it. if you copy paste it it may be embedded or linked to temporaray place where it's not available anymore when you reboot your computer. you should avoid it.