This is what I see: In FTM, you have 3 citations for the baptism Event/Fact. 1 is an citation to an ancestry database and the citation has no associated media attached. The other 2 citations do have media attached. In your ancestry tree, you have the same 3 citations attached to the baptism event/fact. However, only 1 of the 2 citations you created have the associated media attached to the citation. While Russ is correct that if you click the web link in the citation, it opens the media at the link - you should still have a copy of the media attached to the citation in your member tree just as you do in FTM.
I can not say why the media did not sync with the citation, but it should have.
I would try deleting the media in FTM (unlink it from the citation and delete it), then sync. Then add the media back to FTM, attach it to the citation, and sync again.
If that doesn't correct the problem, I would suggest contacting support. It should work exactly as you expected it to.
One question, how did the media item get in to FTM to begin with? Was it added to ancestry and synced to FTM or was it added from FTM?