I don't think the photos are supposed to be transferred from the iPhone to the computer during the iTunes sync. You need to import the photos into iPhoto directly. Open iPhoto with your phone attached and you should see its icon in the devices section.
Be careful though. If you import the photo into iPhoto then the full-size version will be on your Mac, but if you sync that photo back to your phone, I think it'll be a small version. I could be wrong but, if you want the full version on your phone, you have to leave the original there!