The URL rewriting that is included in BE rewrites URLs for Posts and other items, but not for images. Oftentimes .NET doesn't even get the request for images when using IIS6 or possibly IIS7 also in some cases, since IIS doesn't pass the image requests
on to .NET. IIS just handles serving the images itself.
When creating images, just make sure you use a SRC that resolves correctly from any subfolder. For example:
<img runat="server" src="~/themes/myTheme/images/logo.gif"/>
<img src="<%= Utils.RelativeWebRoot %>pics/logo.gif" />
<img src="/BlogEngine.NET/pics/logo.gif" />
<img src="/BlogEngine.NET/themes/myTheme/images/logo.gif" />