I'm sorry, this topic is far from resolved.
There is as yet no sure method of exporting all images from a WordPress.com blog and importing them into a self-hosted WordPress blog other than by downloading each image individually and re-uploading each image individually.
The crux of the problem remains one of extracting all images from the WordPress.com Media Library in the first place.
The most recent (Nov 23, 2011) WordPress.com support document tells us
"Note: This will ONLY export your posts, pages, comments, categories, and tags; uploads and images may need to be manually transferred to the new blog. The current version of the WordPress.org installation gives you the option to import uploaded files, but the blog you are importing from must be live and serving images properly in order for it to work. So, do not delete your blog until after media files have successfully been imported into the new blog.
If you are planning to export your content to another blog platform, it’s best to download and save your images from your WordPress.com Media Library before trying to import/upload them into the new blog."
The WP Importer plugin, even when the "Import Attachments" box is checked, does not guarantee the importation of all attached images.
While Search and Replace and Add From Server are both excellent plugins, both depend on the images having been gotten out of the WordPress.com Media Library in the first place.
HTTrack usually does a good job of mirroring a Web site and its files, but in my current situation it has only managed to retrieve some 445 of the 1386 images in my current WordPress.com Media Library, which means that Add From Server has at best only 445/1386 images to work its magic on.
This, moving the images as well as the posts, is a fundamental aspect of ever moving a blog completely from WordPress.com to anywhere else, and there is still no well-defined way to do so reliably.
If there is some method, or plugin, or script for reliably dumping the entire contents of a WordPress.com Media Library outside of WordPress.com, to an individual computer or elsewhere, either from within a WordPress.com account or from the outside like HTTrack attempts to do, I and numerous others still hanging on closed threads on both WordPress.com and WordPress.org would dearly love to hear of it.