This is actually how XD is intended to work. Images can be pasted onto shapes to make them an image fill. They don't appear in the fill pop-up, but if you change the fill color you'll see the image disappears. This approach is meant to make it easy to put an image into a shape for cropping, etc.
I can see how you might not always want this behavior if you're trying to copy the shadow/stroke, etc though.
—
Adobe Certified Expert & Instructor at Noble Desktop | Web Developer, Designer, InDesign Scriptor