Yes, MDX should support this. There are a few things you can check:
1. <link href="style.css" rel="stylesheet"></link>, first I'd verify that this asset is resolving properly on its own for your portal by directly accessing the CSS file directly.
- For the Search and Data portal generators, this file would be expected to be at: {repository}/content/assets/style.css, which would result in the file being hosted at {host}/style.css
2. Likely not the issue, but explicitly closing the <img /> tag will avoid some potential processing errors.
My hunch is that 1 might be the issue here; Those generators will only copy files in content/assets/* to public-accessible paths, top-level files in content are treated as pages.