@ldolse:
Thank you. The problem was that the stored .htm had made a link to "thin%2520wire.jpg" whereas the actual name inside the "stored files" folder were "thin%20wire.jpg". Thus it couldn't find it.
Renaming to (and fixing link to) "thin-wire.jpg" worked out and a beautifully converted .mobi-file was created.

My Kindle will be happy
@Manichean:
Thanks for your advice. I'm aware of this, that's why I also manually copied the folder with the linked files over.
I also tried to .zip it and import, but with the same error message, so ldolse's reply was the cure this time.