Mail : 'Load content directly' in Monterey

As have many others it seems, given the messages on Mac forums, since upgrading to Monterey, whenever I get mail (gmail or Apple mail) I cannot see images and I have a message: Your network preferences prevent content from loading privately.

There is also an option to: Load content directly which when clicked upon shows all content in the email.

My question:

• What network preference needs a change? [I can't see one]
• Forum discussions are confusing to me - the issue seems to be one of VPN or hiding IP or some such but to turn these off seem to me to be a retrograde step for surely then one loses the protection that they would normally provide?

So, I'm stumped - the Apple Support Memo (Sept 2021) seems to suggest that it is a VPN issue and that you need to click on the "Load content directly" button. At least that's how I read it. It certainly wasn't very clear - to me, at any rate.

Can anyone provide me with clear instructions on how to fix this or is it an issue with Monterey's function that Apple need to correct?

Thanks.