I remember running into this and the problem for me was running Synchronize ( Content > Files > File Upload Preferences ) for the upload destination. You also have to have previously uploaded the images yourself via ftp, as DataGrab doesn't do that. Here's a good rundown from the developer on images from a forum thread:
I am currently writing some better documentation on how to import
images, but in the meantime, this is the best way to do it:
1) DataGrab won’t actually copy the images to the new server - you’ll
have to FTP them to a valid File Upload directory.
When you have copied the files to the correct place, you’ll need to
synchronise the folder from the Control Panels Content > Files > File
Upload Preferences page.
2) The images will need in the correct format in the CSV/XML file.
This format is {filedir_1}your_image_name.jpg
where the 1 is the id of the upload folder you have copied the files
to. You can usually do this with a search and replace in the file.