Thanks! I was able to reproduce this bug easily and will get it written up.
For the moment, in the (hopefully) rare case where you need something like this, it looks like you can get around the problem by using Markdown for the image rather than Scrivener’s conversion. You can retain the ability to link to the image on the disk:
First, import the image into the binder, using the File ▸ Import ▸ Import Research Files as Aliases... menu command. In the binder, you should see a little “alias” arrow in the corner of the icon. It is pointing to the disk image, and will always pull from that when compiling.
Type in ![Caption of image](test)
Select the “test” text (this can be the name of the image, but it doesn’t really matter, Scrivener will replace the text with the image name automatically).
Drag and drop the aliased image onto the selected text, while holding down the Option key (to force making a link instead of dropping the image itself).
Now place your footnote after what you typed, using an inline footnote. You can’t use a linked footnote here, because that will overwrite the image link.