Alright, here is how i solved the problem.
I tried to debug using WinHTTrack GUI and see if I could get it to work
properly. It is easier to get it to work than the command line. Then I looked
at the generated command in the hts-cache/doit.log file.
I noticed that the only significant thing that was different from my command
was this that I didn't use because I thought it was the default (it is not) :
+*.png +*.gif +*.jpg +*.css +*.js -ad.doubleclick.net/*
-mime:application/foobar'

I added these options to my command line, and it worked ! all the external
links to images in the CSS are build properly and the images downloaded.