The plugin was sort of particular about the case of the file extensions; JPG did not work (IIRC) but jpg did. Also, some image hosting services that show images but don’t have an image extension on the URI won’t work with the plugin. The plugin looks for filenames ending in common image formats and allows those.
Also, the image needs to already be on the Internet already, hosted somewhere. If that’s not possible for your users, then you probably want the bbPress Attachments plugin: