Hi,
this is the consequence of a hard external dependency (the program to convert the PDF / whatever to a format which TeXmacs can handle) not being correctly managed.
* You need Ghostscript installed in your system, but I guess you have that or you'd see pink squares instead of images everywhere (e.g. in the welcoming page (Help->Welcome), do you see two gnus?
* You need ImageMagick for some other formats (don't remember exactly which ones)
However, it's enough if you have ghostscript, and accesible in your path.
As a general rule prefer using EPS or PS. It's faster and ensures better quality. Instead of using PDF, convert it to EPS or PS using any tool (e.g. pdf2ps, then ps2eps)
A last hint: when you insert an image, you'll see an "error bad box" message in your document. Go to the right of that and hit backspace to deactivate the tag. You'll see some wrong values for width and height. Delete those and reactivate the tag with enter. Done.
Best