Sometimes there are redirection links that will look like "http://ad.com/serve.cgi" which actually load content at say "http://site.com/pic1.jpg" when loaded. So if you have "Check Parent Links" enabled (in Adblock Plus 0.6.x series it's called Check Banner Links) that will check the redirection URL as well. The problem is that Adblock will only list the URL of the content being loaded so if it's being blocked by the parent link it isn't apparent why it would match.
@mcm: Actually, Adblock Plus 0.6.1+ does it correctly - it displays the link as a separate item and then it is obvious the the link has been blocked and not the image.