You’re using Microsoft Outlook to receive the email, right?
Oh, I recognize that there is a difference in using the Apple Mail App to send to a Microsoft Exchange server (from which you access your email using Microsoft Outlook), vs. using Messages to text your email address, with a text containing photos.
Additionally, people have found that if they use Apple Mail, but send the email by way of a non-Exchange server, Outlook does the right thing as well.
For your edification, regardless how Outlook, or any other email client, renders (displays) an email, any photos, or other files, are attached to the email in the same way: it’s a very old part of the email Internet protocols.
It doesn’t matter whether Outlook, or any other email client, renders (displays) an email with photos inline (what all too many, here, keep calling “embedded”), or all listed at the end, or the beginning, or whatever, the photos are attached to the email as attachments.
The problem is simply that when Microsoft Outlook renders (displays) photos inline, it disallows you, the user, from performing bulk save operations on these attachments.
If Outlook didn’t do this, to y’all, there would be no issue.