You have presumably enabled Mail Privacy Protection:
https://support.apple.com/en-us/HT212797
Your local network, or your Internet Service Provider (ISP), may be blocking Apple’s new Mail Privacy protection feature - and you will see the warning that you observe. This privacy “warning” can sometimes raise concern for users, however, your Mail client will continue to operate exactly as before this new protection existed - and exactly as all non-Apple devices will continue operate without this feature. Perhaps consider this particular warning to be “informational” - unless you are transmitting particularly sensitive information.
More information about Apple Mail Privacy Protection - extracted directly from the built-in help page in iPad Settings:
Emails you receive may include remote content that allows the email's sender to learn information about you. When you open an email, information about your Mail activity can be collected by the sender without transparency and an ability to control
what information is shared. Email senders may learn when and how many times you opened their email, whether you forwarded the email, your Internet Protocol (IP) address and other data that can be used to build a profile of your behaviour and
learn your location.
Protect Mail Activity helps protect your privacy by preventing email senders, including Apple, from learning information about your Mail activity. When you receive an email in the Mail app, rather than downloading remote content when you open an
email, Protect Mail Activity downloads remote content in the background by default - regardless of whether you engage with the email. Apple does not learn any information about the content.
In addition, Protect Mail Activity routes all remote content downloaded by Mail through two separate relays operated by different entities. The first knows your IP address, but not the remote Mail content you receive. The second knows the remote Mail content you receive, but not your IP address, instead providing a generalised identity to the destination. This way, no single entity has the information to identify both you and the remote Mail content you receive. Senders can't use your IP address
as a unique identifier to connect your activity across websites or apps to build a profile about you.
You can disable Protect Mail Activity at any time in iOS and iPadOS by going to Settings > Mail > Privacy Protection, then tapping to turn off Protect Mail Activity. On Mac, go to Mail > Preferences > Privacy, then deselect Protect Mail Activity.
If you choose to disable Protect Mail Activity, the Hide IP Address feature will still mask your IP address using the same method of two separate internet relays. You can disable Hide IP Address at any time in iOS and iPadOS by going to Settings > Mail > Privacy Protection, then tapping to turn off Hide IP Address. On Mac, go to Mail > Preferences > Privacy, then deselect Hide IP Address.
