This is how the system is designed.
Posts are fetched from the database along with, taking into account various permissions, the attachment record/data which are attached to those posts. If you try to use an attachment from another item of content, we won't have fetched the record/data for that attachment, we won't have checked permissions for that attachment, hence a simple link is shown instead.
It will absolutely apply to conversations, too. Attachments in conversations can only be viewed by the participants of the conversation.