Mac mail: Load remote content in message not working right

The setting for "Load remote content in messages" is turned on. An email with remote content is selected.

The "Load remote content in messages" is turned off:

You can see the areas where there is remote content. A box appears on the upper right corner asking to load remote content. I do not use that box. Instead, while in the email, I turn on "Load remote content in messages" See below

Please explain how I can get this to work without having to manually load remote content in my emails.