[Environment: Multiple workstations with Win7 x64 Enterprise & Office Professional Plus x86 2010]
Word documents created in Word 2010 which have bookmarks and images which are hyperlinked to those bookmarks will lose those hyperlinks when the document is saved as PDF or XPS, regardless of the Options chosen in the Save process.
However, hyperlinked text to bookmarks is preserved.
The goal is to have PDF or XPS documents which have smaller images in the document which a user can then click on to see a larger version of the image located at the end of the document, so hyperlinked images are important.
This problem did not occur in Word 2007.
This site seems to indicate that it is a known problem: http://news.office-watch.com/t/n.aspx?articleid=1439&zoneid=9