Hi,
I have very old Saved Chats in ~/Library/Containers/com.apple.iChat/Data/Library/Messages
In this same folder is the Alias that points to the Attachments folder.
The Attachments folder is in ~/Library/Messages
The older chats have Pic-in Line within the chat.
Later ones (mostly created in Messages) separate the two in to the Locations mentioned.
I have checked a few of mine and have founds that some Saved Chats don't link properly to the items in the Attachments folder.
I can only compare the dated Saved Chats and the dated Attachments and then see if the sub folder contains the picture.
The actual Chat should list an Info "i" tat should show the File transfer window as to whether it received the item.
In my case the File Transfer window has no History in it at the moment meaning it is not an means of finding the actual pics.
9:02 pm Wednesday; November 25, 2015
iMac 2.5Ghz i5 2011 (Mavericks 10.9)
G4/1GhzDual MDD (Leopard 10.5.8)
MacBookPro 2Gb (Snow Leopard 10.6.8)
Mac OS X (10.6.8),
Couple of iPhones and an iPad