Images in content field don't come through

I am trying to import this feed with FeedAPI:

http://feeds2.feedburner.com/claremarketreview/the-feed

I used the Feed content type, created the feed, refreshed and nodes were created from the feed item all right, with Title, Body, etc. imported. However, the image tags (img) are left out somehow. Links (a) are also imported without a problem. Any ideas?