P. Phillips wrote "... this feature was built into Monterey." This feature was said to have been built into Monterey. "This feature" was supposed to load content privately. But then it says the network preferences prevent the feature from working—without identifying the relevant network preferences. I want the feature.
It seems I would need to pay for iCloud+ in order for that feature to work. If you click on the question mark on the Privacy tab in Mail Preferences, and scroll down, you will find "Note: If you deselect the checkbox in Network preferences to use iCloud Private Relay (beta) for your Wi-Fi or Ethernet network, your IP address isn’t hidden from senders when using the network." But that checkbox isn't in Network preferences. It's in Apple ID preferences (in System Preferences).
OK, I subscribed to iCloud+, checked Private Relay (beta), verified that Protect Mail Activity was checked, and even restarted Monterey, and Mail is still telling me to Load Content Directly. I tried to cancel the iCloud+ upgrade but it's telling me I can't manage now. At any rate I've paid 99 cents and I'll have the upgraded iCloud+ for a month.
The feature does not exist.