The issue is that IMCE loads up from the path "/imce". If you use the default SecurePages settings, all the admin and node creation pages will be served from https instead of http, and with the redirect on, IMCE will be served from http, unless you add "imce*" as one of the pages that should be secured.
In some browsers (Firefox at least), the http served IMCE window will not have permission to access the page that opened it, which is served from https. Therefore, it has no valid target to send the URL of your file to, so it doesn't create the link.
Adding the imce path to the secure pages list will solve the problem.
Hope that saves some people some long hours of debugging. :)