Actually, the pictures in the ATV2 screensaver ARE stored on the ATV itself. Basically, when you select a photo album or event or whatever to use as the screensaver, the ATV2 copies over lower-resolution versions of the photos from your iphoto library (or folder) on your computer and stores them in the ATV2's memory. This is why, for example, those default animal and flower pics are in the ATV2 out of the box. so there are indeed versions of these photos stored on your ATV2. This is precarious, though, since those pics will probably be overwritten if you ever set the screensaver to use anything else.
If your ATV2 were already jailbroken, you could just sftp into it and grab the photos, which are probably stored somewhere in the file system (not sure where exactly, but I expect it wouldn't be hard to look around with ssh and find them). However, as far as I know, the process of jailbreaking installs a whole new copy of the ATV firmware and OS, and hence any prior data stored on the ATV will be wiped upon jailbreaking. (if anyone knows otherwise, please chime in). When I recently jailbroke my ATV, I definitely had to re-enter all my info to the ATV and re-install my apps (like nitoTV and XBMC) because the device was wiped clean during the jailbreak.
Soooo. . . yeah this is a tricky one. You need to search for a way to jailbreak your ATV without clearing the ATV's memory. (The jailbreak is required to give you access to the file system.) I don't know if that's possible but it's worth looking into.