Being able to explain the prediction to clinical end-users is a necessity to leverage the power of AI models for clinical decision support. For medical images, saliency maps are the most common form of explanation. The maps highlight important features for AI model's prediction. Although many saliency map methods have been proposed, it is unknown how well they perform on explaining decisions on multi-modal medical images, where each modality/channel carries distinct clinical meanings of the same underlying biomedical phenomenon. Understanding such modality-dependent features is essential for clinical users' interpretation of AI decisions. To tackle this clinically important but technically ignored problem, we propose the MSFI (Modality-Specific Feature Importance) metric to examine whether saliency maps can highlight modality-specific important features. MSFI encodes the clinical requirements on modality prioritization and modality-specific feature localization. Our evaluations on 16 commonly used saliency map methods, including a clinician user study, show that although most saliency map methods captured modality importance information in general, most of them failed to highlight modality-specific important features consistently and precisely. The evaluation results guide the choices of saliency map methods and provide insights to propose new ones targeting clinical applications.