There are a ton of similar forum posts with people observing that Excel 2007 doesn't work as it should. Furthermore when you record a macro, Excel 2007 doesn't insert the code when it comes to shapes. So we're in the dark here.

I've come across this code which solves one problem in 2007, i.e. putting all images in cell B2:

Sub LatexIT2007()
    Dim equation As Variant
    equation = Selection.Formula
    With ActiveSheet.Pictures.Insert("http://www.codecogs.com/excel.latex?" + equation)
      .Left = ActiveCell.Offset(0, 1).Left
      .Top = ActiveCell.Offset(0, 1).Top
    End With
End Sub

This isn't a fix, since it appear Excel is unhappy with my url. However I'm just hoping others will see this and can help find a solution.