It is an Xcode9-beta (9M136h)
bug. I don't know if it has been resolved in beta3
or not. Copy items if needed
copies the file to your project directory but still links to the original file.
What I do is, after dragging the file to my project, I select the folder icon (see red circle in the image below) from File Inspector
and point to the copied file in the project directory.
@pesch's approach works too. First copy the image to your project folder and then drag it to Xcode.