That's only correct if the OP wanted the exact same site on the new host. Perhaps he wanted a clean install of WP and just the post contents including images?
This bug is a common one, just google and you will see how common. I'm just experiencing it now and it's extremely annoying, without another option to migrate my posts only from one install to another with the featured images I will have to manually add feature images to all posts again.
As someone commented on a thread elsewhere about this, if this bug existed in the Tumblr to Wordpress importer they'd have it fixed next day.