Apple Mail, VPN, Remote Content

When I turn on VPN, Apple Mail client will automatically “load remote content through my current VPN configuration”. I would like to know if there is any way to prevent it from automatically loading these remote content for me when I turn on the VPN to avoid being associated with other network activities I use this VPN.

I also tried a mail alias forwarding service such as SimpleLogin. However, the email I received after forwarding through SimpleLogin still had the above prompt, which means that the remote media was not removed. But SimpleLogin claims they automatically remove trackers, which confuses me.

When using Apple Mail and turning on a VPN, is there any way to prevent remote images from automatically loading through my VPN? Or is this loading harmless to my privacy?

Please tell me if you know. Thanks.