Update: It seems that loading a custom preview image for a material asset automatically packs it into the blend file. I couldn’t find this described in the documentation. [I drilled down into the Data API and it looks like the pixels are defined in there.]
If you want the “main” texture packed into the .blend file, the image must be packed manually before assigning it to a material.
[Also, a second try at screen capture (from the asset browser window itself) was successful. I guess there is more to this operation than I am understanding.]
