After reading many articles and some questions on here, I finally succeded in activating the Apache mod_expires to tell the browser it MUST cache images
mod_expires
You were using the wrong tool for analysing the requests.
I'd recommend the really useful Firefox addon Live HTTP headers so you can see what is really going on on the network.
And just to be sure, you can ssh/putty your server and do something like
tail -f /var/log/apache2/access.log