Yeah - reproduced. Log a ticket on that.
The copied image is added to the PM because it is a URL that is being pasted in, as opposed to an attachment - that is how the image can be added in.
The attachment, originally uploaded to a topic, would not be valid if it was deleted prior to the 'cancel new topic' action.
If the attachment was orphaned, instead of associated with the PM, then it would end up being cleaned up eventually (I think)