I think that's just how it works with Samsung phones... I have the same issue on my S III and I've seen it happen with the S II X as well. Try holding down on the picture and saving it to your device instead and check to see if it pops up in the gallery.
It's happened with just one picture, and with 2 sent.
My husband has the S II X and no problems with it, he got the same 2 pics sent to him and showed up as pictures, he could even enlarge them to see it closer where I couldn't