Saving my all iMessage conversations to Windows 10
I use iExplorer, which is available for macOS and for Windows. Among other highly useful things, it can export the contents of Messages, including images. It it not a free app, but I've used it so many times that it has paid for itself (US$39.99) many times over.

Disclaimer: Satisfied user - not affiliated in any way with Macroplant LLC.