I've run this plugin several times before, so I know it works - but on my current Blogger to WordPress import, some of the images aren't being cached. The caching appears to progress normally, but the files aren't actually being imported. All are JPG files.
Based on another support thread, I tried installing W3 Total Cache and using the import feature under CDN. That plugin said, "File Type Rejected" for each of those JPG files. It looks like this: