That's a feature designed to make it easier to share... AND to protect the unsuspecting recipient.
Fact: Most instant messaging viruses are spread through malicious links, which don't actually do anything unless you click them. Why is this effective? Because if you get an IM from someone you know with a link, you tend to trust that it's okay to click that link. The problem is, if they were infected, they aren't actually sending the IM to you in the first place... a program is. And thus, the virus is spread.
When WLM displays image links, it's doing you a favor.
One more word of advice. When you get an IM from someone with a link in it, ask them what it is before you click it. Most viruses won't converse with you.