Hm this option is checked by default and I have it checked.

Anyway I just added +*.jpg then it included embedded images.

But what bothers me now is that it loops on some wikimedia stuff. And I can't
skip it. Hours of mirroring time lost, great...

Well, in the FAQ it says either exclude the looping stuff or add recursive
limit.

If I exclude the looping stuff it could loop on some other crap and I would
loose hours of time again. So only way is to add recursive limit. But I can't
find that option in the windows GUI. Seems like I have to use command line? :(