Try converting to ePub using Calibre, and then use Kindlegen instead of Calibre to convert from ePub to mobi - see if that retains the formatting. In some cases Kindlegen does a better job than Calibre, this could be one.
I can't quite tell what the issue is as you're not posting the pics here on Mobileread - never understood the attraction for people to use imageshack as most people can't see those pics... The forum will let you attach pics directly, fyi.
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