I think it's probably down to this which, according to this, restricts the selection to 'PDFs, docs, etc.'.

Calling it 'bad feature design' is somewhat harsh.. it's more 'using the extension in a way we hadn't expected'. Typically if you're linking from Resources to video or images, those files are external to the course so are added to Resources as links.

If you feel this needs to be changed, please log a ticket. And of course you can always modify your copy of the Resources extension however you need... and should you want to contribute those changes back we always welcome such contributions, there's a page here about how to go about that.