Looks like you can only *embed* images - so it needs to have a home elsewhere on the web, and you point to it using its URL.
The editing icons for PMs seem to be the same as those for the forum posts - you see the Bold, Italic, Underline...etc etc.. then you see the little icon of an image. When clicked, you enter the URL.
For instance, here's a picture of the xenforo home page - the people who make this forum software: