PMs do not allow attachments. You can insert images (as you saw), but the image has to be uploaded elsewhere and the URL for it pasted there. You would have to upload your image to another service (Imgur, for example) and then use the URL to insert the image in your PM.
Ok thanks for the info HisDevineShadow, I cannot get into chat anyway, so just comments are going to have to be good enough for me in
PMs, but of course I can post in folders still