Does it have anything to do with the message having possibly
been Forwarded at some time?
Yes and when this occurs the original message was composed in HTML or received and forwarded by someone using HTML for message composition. HTML figures into this somewhere along the line.
Would choosing NOT to display remote images in HTML messages
in the Mail preferences stop this?
No and you shouldn't automatically render HTML regardless as a security feature to prevent notifying a spammer that your email address is valid. If a spammer uses HTML for message composition and includes embedded images or objects that must be rendered from a remote server to be viewed and these are rendered, you are notifying the spammer that your email address is valid or "known good" causing even more spam to be received.
If a spam message that includes remote images is correctly marked as junk when received, no images or objects will be rendered from a remote server as a security feature regardless the setting but not when a spam message that includes the same is not correctly marked as junk when received which is why you should not automatically display remote images in HTML messages.
http://docs.info.apple.com/article.html?artnum=107401
The majority of email problems would be eliminated if Plain Text was used for message composition instead of HTML.