"Mail Privacy Protection works by hiding your IP address and loading remote content privately in the background, even when you don't open the message."
They're "reading your emails" for functionality like spam filtering anyway. This seems like it would work on basically the same level as that kind of stuff.
This is how Gmail started as well, and now Gmail is a big source of profiling info for Google advertising.
So it will be interesting to see how Apple inserts itself into that setup to implement the image proxy.
Except for iCloud addresses, I'm pretty sure that that's not true for Apple Mail.