This is weird. I see a filename, but not a photo. Before commenting, I decided to poke through the html, where I found a url to a photo:

http://ic.pics.livejournal.com/wispfox/936418/18462/18462_900.jpg

That page says "Access is closed!
You have no access to this photo."

So, I guess I don't have access to view the photo, and I guess lj handles that case by displaying only its filename, with no way of noticing there's a problem, other than your mention that there should be a photo.

Somebody should probably open a bug.