Thank you Glenn, not really a glitch per se, but the way it was designed. The advantage is that the pictures are not downloaded until the reader clicks and calls for the picture. This makes for much faster downloads as you read the page. I just tried the save as html page feature on a facebook page with multiple pictures and it does the exact same thing on facebook, only downloading the first picture.
While not ideal for saving the entire HTML page all at once, it works much better for the average reader.