Why don't images embedded from a URL appear in the lightbox?
The lightbox can only be triggered by an attached image. Once the lightbox has loaded, all images in the post (or page) will be displayed, including embedded images.
We can only attach the lightbox trigger to attached images, although we can display all images from the page within the lightbox once it's open.
The rationale is that with hot-linked images, we can't be sure if we're supposed to be looking at the thumbnail, or a full sized image, or a small image etc., and we can't tell what (if anything) it's supposed to do when you click it. It's safer to not attach our own click events, as the behavior is simply not knowable.