Import/export from one JIRA project to another one (XML): Attachments links aren't exported

I'm reading your post as a feature request, which you could post to the roadmap portal and then we could all support by voting for your idea - it looks like you have 7 already! 🙂

There is another option that might work for you: you can add test cases from other projects into a test cycle.  Using that option you get to keep images (and I think attachments) that are in the target test case.  The potential drawback is that the test cases you add remain in the original project's test case library.