If you read the source code (https://etherscan.io/address/0xb5fe93ccfec708145d6278b0c71ce...), you'll see that it only stores links to images in the Ethereum blockchain. Thus it is the buyers responsibility to make sure that the image stays. The best way to do that would probably be to store it on IPFS or something else.
[Edit]
The (probable) reason why they're not storing the images on Ethereum is that that would (currently) be way too expensive. There's things like Swarm [1] which will allow storing data next to Ethereum in a much cheaper manner.
Just how expensive would it be? I mean, for every pixel they are getting 0.001 ethers so surely a part of that could have been used for storing inside the blockchain? That would make it completely permanent.
