Does the "Click on found image action" not store the image in the macro itself? I'm asking because I set up a macro to click "Don't Save" in ScreenFlow (because in that softwhere just clicking 'D' doesn't respond as it does in MSFT Word). But before I began recording, I cleared my desktop where the image was initially located. The macro didn't work.
If that's the case, can I make that a future feature request? 
No, it does not. but it should store the image frame coordinates, which you can get using the %FoundImage% token.
EDIT:
Perhaps I misunderstood the question. Running the macro/action does NOT store the found image. However, If you paste an image on the clipboard into the Macro Action during design/edit time, then the image is stored as part of that Action.
Have you tried using Press a Button action? this would be much better.
If you paste an image in to the Click at Found Image action, then it may depend on the image. If the image is a file reference, then that file reference may remain a file reference and the file needs to remain. If it is a clipboard image on the clipboard, then the image itself will be stored in the macro.
So for example, if you select a file in the Finder and copy, you will generally get a file reference.
If you use Screen Capture to screen capture an image to the clipboard, then that will be an image, and would be stored in the macro.
Thank you for your response @peternlewis, I'll try putting it in a clipboard next time. For my current macro, although Click at Found Image action did work, I disabled it in favor of the Press Button Action.