That is a common problem that users encounter when migrating from online trees to PC based genealogy programs.
Online trees from such as Ancestry and FindMyPast do NOT export the Media with the GEDCOM.
What you can see are the Media records that are trying to link to the online Media, but can never succeed.
The FHUG Knowledge Base has advice for users migrating from other products and importing to Family Historian.
The section on ‘Import from Ancestry website’ has specific advice on using Family Tree Maker or Roots Magic as an intermediary to preserve Media.
Regards, Mike Tate