Thanks @Knorkator for the report, I would have a few questions to help understand your problem better:
1) Which version of the Windows Desktop App are you using?
2) Which version of the Mattermost Server are you using?
3) Does this only reproduce for images posted in a private group?
4) Does this only reproduce for a particular image extension (such as .jpg, .png, ...) or for any types of images?
5) When you say 'not loading', do you mean the picture does not appear in the channel, or that you're unable to expand it in a preview mode?