Hi,
They do stay in the Chats.
In Fact to "Save" them you have to drag them to the Desktop to then use a Graphics app with them
They are shown in Old Transcripts that you have kept.
They are still expandable there but you cannot drag them out as it were to work on a old pic.
Old Transcrips are kept in Home Folder/Documents/iChats and the Dated Subfolders.
Not a Temporary file/Folder
I know that at the iChat 2 and iChat 3 start lunch period of iChat's development that Changing the default Downloads folder was a bit quirky and somewhat unreliable. It's a long time since I tried to use a another Download spot.
I have not experienced what you are saying or read of someone having the issue before.
2:30 PM Wednesday; September 1, 2010
Please, if posting Logs, do not post any Log info after the line "Binary Images for iChat"