Ok, I have looked through the wp-mail.php that parses the incomming e-mail. I seems it does not handle the part of the e-mail where the attachment is. This is marked as follow:
Content-Type: image/jpeg; name=SAMPLE.JPG
Content-Transfer-Encoding: base64
X-Attachment-Id: f_evgab3fh
Content-Disposition: attachment; filename=”SAMPLE.JPG”
Is there any new versions of this file (wp-mail.php) out?