No strokes on linked files
Illustrator CC 2017 (up to date) Windows 64bit
Place a linked file, eg. a jpg
Add a stroke to the linked file object in the appearance panel
Try and change the stroke weight.
Expected a stroke. like any other.
To have strokes around your linked images, you should do some additional steps:
1. Apply a stroke (obviously)
2. Open Appearance panel
3. Focus the applied stroke attribute
4. Apply Path > Outline Object effect
It should be placed 'inside' of the stroke attribute, not the object itself. You can always drag-n-drop it if you missed.
Why does it work?
The image does not have a path for a stroke to be applied to. If you aplly the effect to the image directly, its pixel data is replaced by a path around the bounding box. Applied to stroke, it give it 'rails' to be stroked along.
Not easy to grasp, but once you get it, Appearance panel becomes your best friend.
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Stacy Beatty commented
It seems that you can't place a stroke on a photo anymore without going through a 5 step process. I don't know if this is a glitch or on purpose but please bring back the other feature where you can place a stroke just by increasing the stroke width and changing the color