"Protect Mail Activity" function

Generally I don' t want the mail client to automatically download remote contents embedded in an email. This is also the default in Gmail's web mail.

I noticed the Mail App provides a "Protect Mail Activity" function. However, the "Block All Remote Content" is forced to uncheck if the "Protect Mail Activity" feature is enabled. This surprised me a bit.

From Apple's explanation, it is said that Apple uses a sophisticated delegating architecture so that my real IP won't be tracked. This seems good, but, it is also said that the Mail will always retrieve the remote content after receiving an email with such content, even if I haven't opened the email in the app! How much privacy would it "protect" if doing in this way? The remote content URL may be generated as recipient-specific and the sender could still collect the information about content retrieval, although the recipient's source IP is hidden.