Some types of pictures embedded in RTF aren't supported IIRC, as Itimpi noted (I think WMF/BMP are particular culprits). If the picture is just the cover and you've configured Calibre with the pic then the easiest thing to do is to use the 'remove first image' option under Structure Detection. That should get rid of the link causing the questing mark.
If the image was not a cover and something you did want in the book it might be easier to extract the image from the document in your rtf/doc editor, and then re-insert the image using Sigil after conversion.
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