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You may have just added a link to the file instead of actually embedding the file. An easy way to check is to use the Attachment List window on the Mac (under the Windows menu). They won't show up if you linked them, only if you embedded them.

If you added them by dragging and dropping, you need to hold the option key down while doing so (you'll get a green circle with a white '+' in it as an indication), or use Edit->Attach File... which gives you a radio button choice as to whether to link or embed the file.