When you copy/paste from Word to Rally, for example, you are uploading the image to Rally and we host it as an attachment.
However, if you copy an image from another website, it becomes a link to that original website's location, and no attachment object is created in Rally. There are a few caveats to be aware of when this happens:
If it is necessary to host the image within Rally, then it would be necessary to download the image from the source site and upload it to the work item you want to associate it with.
We have heard that in Windows - Snagit will work when pasting images, but using the snip tool does not work.