Why can't I save an image using contextual menu?

Because of the way Chromium (or Chromium-based browser) works.

When you try to save an image on a web page using the contextual menu, Chromium will make a request of type other, not image, so if you disallowed other in the HTTP Switchboard matrix, the request will be blocked.

Just allow other for the hostname corresponding to where the image you want to save is located.