You're doing nothing wrong, you're simply printing to a non-postscript printer. Quark will only print full resolution images if you are printing to a postscript printer (or software RIP), provided it can find the original images. Otherwise, it will just print the preview.
If you are sending it to a commercial printer, then don't worry about it, it will print fine. If you are printing it yourself, you might want to create a PDF and print from acrobat instead. faq260-3087 in the Quark forum discusses this issue in detail.