Graphics such as rectangles, blob outlines and labels, and small image titles are not part of the image, but drawn ‘on top of the image’.
Some graphics are redrawn automatically (such as small image titles, selection rectangle), most are not (such as blob outlines).
No graphic is saved with the images because the graphics are not burnt into the pixel data, but separately drawn over the images. Images with graphics are saved and printed using the screen grab (<alt> Print Screen) which puts an image of the screen into the clipboard. Then paste this image into some other software that can crop and print images.