Did your proxy check DNS requests? Anyone who runs their own DNS could easily assign a unique subdomain for each email, embed links to that subdomain within the body of the email, and see if they get any DNS requests for those domains.

Also checked using Chrome/Firefox on Ubuntu, with the same result. iOS Mail App didn't grab anything with remote images turned off.

Considering it's an IE specific tag, I tried with IE and gmail, I couldn't get it to download anything, even when allowing remote images. IE was too bugged out trying to render gmail (not hating, stating).