Unable to load remote content privately

I’ve finally figured it out. Under System Preferences → Network → Ethernet/Wi-Fi → Advanced… → Proxies, I had Auto Proxy Discovery enabled.

I don’t use a proxy on my network, but I guess if you allow macOS to discover them automatically, Private Relay gets disabled “just in case” it finds one? Doesn’t make much sense to me 🧐

Either way, unchecking that option fixes the problem. Geolocation websites give me weird locations for my IP address, and Mail loads content privately.