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I was having the same problem with PAF 5, Word 2002, rtf format. The problem was with the PAF "Print to File" option, which I was using since I wanted to share the finished report by email with non-PAF users. The print-to-file did not support pictures, although they showed in the print preview. When I sent a page to the printer, the pictures were included -- fine, if all you want is a paper copy.
I still wanted to make a copy of the report I could email, rather than printing and mailing paper. I worked around the problem by using CutePDF (freeware), which installs itself as a virtual printer.
If your PAF print dialog does not let you select a printer, just make CutePDF the default printer through Control Panel and then come back to PAF. Then just print the report to CutePDF, which gives you a file, instead of using the PAF Print to File feature.