Create two sites, named Source and Destination.
Create an assessment with two questions in the Source site.
For the first question, attach a file (I used image files to make it easier to view).
For the second question, upload a file to the Source resources directory. Use an HTML image tag to point to the image.
Save the assessment and preview it; both images will be visible.
Export the file as an XML (QTI) file.
Import the file on the Destination site.
Preview the assessment on the Destination site; the images will not be visible.
Go back to the Source site and export the assessment as a zip (Content Package) file.
Go back to the Destination site and import the file.
Preview the assessment that was imported from the zip; both images are visible.
It may be that QTI should not copy those items, but if that is the case, there should be a note on the Export Assessment page that warns the user. Something along the lines of "If your assessment contains any attached files or uses html tags to reference external resources, you should use the Content Packaging option."