it may be that the pages you are having problems with contain java applets...
If the java applet contains an image then you wont be saving this when you save the web page complete. (As ususal, I'm open to correction on this!)
I'm not sure of how to work round this, other than with a "print screen" or similar "scrren capture function.
If it's happening all the time, then it's probably something else... sorry I have no oter suggestion!