Okay, I can 100% reproduce what you get. I don't understand why this is, but I can use this to poke some people at Wolfram.

PS C:\Users\arnou\Downloads> .\program.exe
Initializing NetLink MathKernel ...
Running query:
DensityPlot3D[x y z, {x, -1, 1}, {y, -1, 1}, {z, -1, 1}]

Result:
        -Graphics3D-
Mathematica returned 2 images
Saving image #0 to file 'plot_image_0.jpeg'
Saving image #1 to file 'plot_image_1.jpeg'

So far this seems specific to DensityPlot3D (I tried things like Plot3D, ContourPlot3D, and even Graphics3D[Sphere[]] and none of them are showing this behavior).

This is also interesting: Put the DensityPlot3D in a Do loop (as shown) and you get even more images:

PS C:\Users\arnou\Downloads> .\program.exe
Initializing NetLink MathKernel ...
Running query:
Do[ DensityPlot3D[1.0, {x, -1, 1}, {y, -1, 1}, {z, -1, 1}], 3]

Result:
        Null
Mathematica returned 6 images
Saving image #0 to file 'plot_image_0.jpeg'
Saving image #1 to file 'plot_image_1.jpeg'
Saving image #2 to file 'plot_image_2.jpeg'
Saving image #3 to file 'plot_image_3.jpeg'
Saving image #4 to file 'plot_image_4.jpeg'
Saving image #5 to file 'plot_image_5.jpeg'

Update: I received an update from our development team and this is an issue (bug) in DensityPlot3D. It can be reproduced without NETLink as follows:

Block[{$DisplayFunction = Echo}, DensityPlot3D[x y z, {x, 0, 1}, {y, 0, 1}, {z, 0, 1}]]

Update: It's not the only function that has this behavior:

Block[{$DisplayFunction = Echo}, ComplexPlot[0.0, {z, -1 - I, 1 + I}, PlotLegends -> Automatic]]

My recommendation, for now, is to expect one or more graphics being returned to NETLink and using the last graphic as the one to use in your NETLink code.

Another update: I have found a function (and there are possibly others) which do not return any image, even though they should. For example

PS C:\Users\arnou> .\program.exe
Initializing NetLink MathKernel ...
Running query:
ListLinePlot[{1,1,2,3,5,8}]

Result:
        -Graphics-
Mathematica returned 0 images

(This will also be reported to the developers...)

Do you have an exact DensityPlot3D command that you are sending through NETLink?

Does it happen with any (simple) DensityPlot3D command, or is a specific to your own code? For example, do you see the same problem with something simple like this:

DensityPlot3D[x y z, {x, -1, 1}, {y, -1, 1}, {z, -1, 1}]