I tested on a few MS Word docx files, using Data>Convert
I tried conversion of docx to pdf, md, html and rich text and in all cases, images were absent from the destination.
My last attempt was with a very simple word file containing a few words and one image.
It’s a pain because an app I am using for annotations called Liquid Text can only decently export annotations to docx, a format which I strongly dislike.
From Word you should choose “Save PDF to Devonthink 3” - that will let you save it to whatever destination you want inside of DT3. It will be saved properly within the database.
Do NOT try to manually create a new file inside DT3 by browsing within the DT3 database structure; that’s an invitation for problems.