Are you using the GE4 beta or GE3? If you are still using GE3 you should update to GE4. There was an issue in GE3 wherein some of the images included in a placemark collection would be replaced by other images in the same collection. (The file name in the kml changes to match another image in the set, and as a result the replaced images never get sent to the kmz file.)

This problem appears to have gone away in GE4. I use quite a lot of images when I prepare a presentation and it now handles them w/o any trouble so far.

The reason that you see 'images/picture 037.jpg' after you save your folder as a kmz file and the reopen the saved version, is that any images used in your project get copied and placed in a folder called images, with the kmz zipped file.