There are a few of things to consider. Relative path vs Absolute path. Which method are you using to attach the image. The path information for you colleague is most likely not the same as your location. If you are sharing this file via One Drive and both files are in the same location, then both of you should be able to see it. If you have the image files in a different path that he does nor have access to and is not available via a relative reference, he/she most likely won't be able to see it.
I would open the file from your location. Set path to relative for the image and place the file in the same location as your dwg file. Make sure they can see the files from the shared location and then have them open the file up. At that point both of you should be able to see the images referenced int he dwg file.
