After a little playing, it appears that anything within IMG or URL tags appears in the preview as the text was typed, but upon posting is parsed to the content... My sig block, for example, has an IMG tag. Whenever I preview a post, it shows only as the text.... and as you can see from this post, it appears correctly once submitted.
1. If linked via a url, perhaps it is incorrect in some way (or the site is down).
2. have you placed it in the Signature Block, or in the Extra Information. If its in the Extra info bit, it is only seen when someone views your profile - not your posts...
Have a check. If you still having problems, let me know.