Windows 7 x64 Home Premium
Construct 2 R95
Construct will not save spritesheet at all in my particular case: sprite istelf is 1x1 px, and there's 2 frames. So if there's no at least 10 animation frames (when 2nd list is created), the whole animation is not saved on export. If there is only one sprite object in the scene, the "images" folder won't even be created.
About the example provided: 2 sprites, the left one (black pixel in project) has 9 animation frames so it's not saved. The right one (yellow) has 10 frames and so 2nd animation list is created (that's the bug border, i think).
CAPX
EXPORTED
Partial Workaround: As far as you're using sprite for storing just images (not for animated sequence) you can duplicate frames - the total length should be not less than 10 frames (from frame 0 to frame 9).
And there's no workaround for storing animation sequence... wait, you can jump over those frames via events <img src="smileys/smiley11.gif" border="0" align="middle">