NOTICE: In 2013, when selecting Status as “All” the xml file exported would include all attachments. Somewhere along the line, that no longer worked. Then came plugins... but the most popular plugin (that appears in Google search results #2) now comes with a warning that it has not been updated for the latest 3 major releases of WordPress.
Other plugins may come and go... however, now you know why I stated the need to manually download and upload all of your post or page attachments that you want included, like your images, PDF, Excel, and maybe even Word files.
The screen print is to include more detail for those who need a bit more understanding.