Notably, this allows remote parties to associate your IP address with your interests, as revealed by the Lemmy communities that you browse.
One way is for the image host to use the HTTP Referer field. (Standards-respecting web browsers pass the URL of the web page being viewed to the server hosting the image.)
Another way is by posting an image with a unique URL.
Even if Referer is withheld and the image is not unique, the image host can still do basic fingerprinting of your client’s request header and your OS’s TCP quirks, and associate that fingerprint with your IP address.
An option for Lemmy to proxy media would be very helpful. Small instances could perhaps disable it, although they might not need to, since the additional load would scale with the number of users on that instance.