Thanks for the tip! Using the PNG, does it have to be in PNG format? Do the graphics have to be redone or renamed if BMP or JPEG?
Actually, when you copy an image, it goes into the computer's clipboard, which is in the RAM. And RAM holds only raw RGB data. So it doesn't matter what you copy, it will always be stored as BMP in your memory, and thus will be by default pasted as BMP. That's why you can't copy-paste GIFs or PNGs with an alpha channel. So in this case you should always paste as PNG, which means paste as BMP and compress as PNG.
Saving the image to a hard drive and/or using the Insert -> Image command is a different thing altogether, that doesn't copy anything into the RAM and thus you get the original image included.
Also, it's quite odd how there's an option to paste as EMF and WMF. Those were mainly used for early vector graphics.