Import/export currently focuses on the content that is in the WP database itself. Content/links/tags, etc. Media can be transferred only if the original site/blog is available.
We're using wordpress in an enterprise environment with dev/staging/production paradigms and are looking for a good way to migrate proposed changes between environments. Ideally we want to develop the content and use wp's media/attachment features to upload files references in the content. With this feature the export would provide an archive of the xml content as well as any attachments referenced in the content. Similarly, the import would be able accept similar archives.