Did you export to a GED file from your Ancestry file? Or, did you use the feature in Family Tree Maker 2012 to create a new tree on your own computer from your online tree?
If you did the later, it should download all media with your tree. I'm in the middle of running something else so can't check the options right now.
If you want to use the sync feature to keep the 2 trees sync'd up, you have to have Family Tree Maker to do the download for you, not an export from Ancestry.com. GED exports don't include media.