a couple of things to check, since the image formatting conventions are really semi-bogus:
make sure the .JPG is in lower case (.jpg)
make sure there aren't any spaces in the filename (not sure if that would be an issue, but better safe than sorry)
the image should be roughly 1200 pixels on the shortest side; don't over-achieve, though - that's plenty big enough
those are the main things. so double check those first, then we'll go from there. i wish i could offer more substantive help, but - as you've noticed - DTP support is, shall we say, just a tad lackluster...