You've done nothing wrong. Hexbear will only embed images from a short accept-list of websites (because hot-links can potentially be used for tracking, and because trolls can embed awful shit). This is a modification from the way upstream Lemmy behaves.

@Alaskaball@hexbear.net You can click the rainbow-colored "fediverse" icon to view the comment on the original instance (which will embed the image in the comment). Alternately, you can click the "view source" icon under the comment and copy/paste the hyperlink.