I have noticed the same problems as noted above with one HUGE exception. I have several documents that were originally created in 2007 but now are updated in 2010.
Some of them save as PDF with no problems in the image Hyperlinks. But others drop the hyperlinks from the images. I know that it is some setting.
I noticed that if I use a document that works, delete everything out of it, (keeping the settings etc) then copy into the document the other documents contents, it converts fine.
So this means that it is NOT the contents that are the problem. Instead it is something to do with the settings on one document compared to the other.
I Just figured out what the difference was. The docs that worked were (.docx made with 2007) and the ones that did not work were (.doc)
When I took a document that was converting well (.docx made with 2007 & updated with 2010) and changed it to a (.doc) file, it no longer saved the image hyperlinks.
However, when I converted a (doc) to (Docx) in 2010, it did not work either.
So in order for the word 2010 to pdf hyperlink images, you need a (Docx) document created by 2007, and then save to pdf with word 2010.
TRY taking old (docx) files originally created with word 2007, delete all the contents, then copy and paste what ever you want into the "Shell" and I think that it will save to pdf with working hyperlinks. (It did for me)
Hope this helps.