When an HTML format email message that contains some embedded images is saved as an .msg file in a Microsoft Exchange Server 2013 environment, the saved email message is converted to the Rich Text Format (RTF), and the embedded images are lost. Additionally, if the images are attachments in the HTML message, the images are replaced by embedded images.
This issue occurs because the message is converted incorrectly to RTF after saving.
To resolve this issue, install the following service pack:
2926248 Description of Exchange Server 2013 Service Pack 1
To work around this issue, you can use Microsoft Outlook in cached mode to save the HTML formatted messages as .msg files.
Microsoft has confirmed that this is a problem in the Microsoft products that are listed in the "Applies to" section.