I don't know why it might be showing like this but perhaps it is related to the vsd file type and hence Compatibility Mode.

If you save the file in vsdx format does the jpeg reappear? If not, close the vsdx file and open it with a zip file editor. Go into the Media folder and see if there are any JPGs sitting in there that can be extracted.

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Andrew Lockton
Chrysalis Design, Melbourne Australia