Having tested on XP with Office 2007 and the latest BD I've narrowed it down to a doc that I was importing that contained a GIF image. Png/jpg seems to work fine.
If I saved the doc as html, doc or rtf and it contained a link to a GIF image then try importing into BD the image doesn't display.
This behavior appears consistent with Vista - i.e. it doesn't look like Vista is causing the issue - anyone know if this is a BD limitation?