Would you be happy to use a figure from published work (not your own) in your thesis to illustrate a point, or for comparison with your own results where you don't have access to the authors' raw data?
I'm not sure about it personally...the reader could easily go look up the figure you're referring to and read YOUR discussion of it while looking at the original results. Why resort to copying the figure into your own thesis?
I've seen it done, so it obviously isn't a problem, but I'm just not sure about it...