Looks like the unexpected downloading of remote images was actually caused by Growl and not Mail.app. "James Bondo" saw the same unexpected behavior but also noticed that it didn't occur when Growl was disabled - I disabled Growl notifications and sure enough, the remote image requests stopped. He recently posted this info on their forum and got it entered as an official bug (#388210).
UPDATE
Looks like the unexpected downloading of remote images was actually caused by Growl and not Mail.app. "James Bondo" saw the same unexpected behavior but also noticed that it didn't occur when Growl was disabled - I disabled Growl notifications and sure enough, the remote image requests stopped. He recently posted this info on their forum and got it entered as an official bug (#388210).