There was a question exactly like this a while back, but I can't seem to find it. In any case the short answer is that the Quark engineers changed the code in XPress. Yes, you used to be able to do this, but with version 7 this was changed. PICT is a format in page layout programs that is going bye-bye. Windows systems do not support it and more and more Mac users just don't use it.
It has also been reported that this does not work well on Windows systems.
In any case, you are almost certainly aware that this is a bad idea right? Better to save out an EPS (or TIF) and "IMPORT" the file. That way there is a link to the file, your XPress document does not become bloated in file size, and you don't run the risk of corrupt image previews.
Erik Youngren (Click my name to email me, or the Contact button above.)Composing: Pueblo Publishers
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