Thunderbird displays the message, "To protect your privacy, Thunderbird has blocked remote content in this message." Just how does blocking remote content protect my privacy? I searched the support website for Thunderbird and couldn't find anything.
It is possible to send an HTML E-mail that loads an image from a remote Web server. The reference to the image could be something other than an image, even though an image is actually displayed in the E-mail. This could contain variables that I want to learn, such as who received my E-mail, and many other variables gathered when the E-mail client loads the "image" from the Web server. And there are many more techniques.
Basically, images embedded (via HTML) into an email message aren't downloaded like attachments, they're loaded from a web server somewhere.
So, if I was a nefarious spammer and I had a list of 500,000 email addresses and wanted to know which of those addresses were definitely real and/or active, all I need to do is embed an image (could even be a 1 pixel transparent image you would never know was there without examining HTML) and then go back and check my server logs for who is accessing the image from where. So if you load the email with the image, BAM, I know your email address is a prime target and should be kept on my list and/or added to other lists.
This is gross simplification, but that is why most email clients and services block embedded images by default.