I understand that JMS works by working with only one copy of Joomla core files and component while the content is managed through separate database.

I was wondering since the core files are shared, does it means that one admin can see the images folder of another multisite user?

Or does each multisite user has their own image folder and that they can individually customised the path to the image folder?

If you decide to share the images directory then yes every slave can see this shared directory.

If you want to have a specific "images" directory for the slave site, this is possible.
See the tutorial video that show how to have a specific images and templates directory.
www.jms2win.com/en/tutorial#jms12x-CP-05

So share or have a specific images directory is a decision that you take when you create the slave site.
In very short, to make a specific images directory, you have to create a JMS Template rule where you setup the "folder and file" with the action = "copy" for the "images" directory.