I am sure this issue must have been reported before, but I can't find such a thread. This happens to our forum very often that some external images show missing image icon when image proxy is enabled. If the same post is edited or quoted, in the editor, image shows up fine though. I could not figure out how to fix this. Today I noticed it here on XenForo site as well so I thought it is not special to our server. Please see the attachment below:
Thanks @Mike. I always had this feeling that any image larger than the max-size defined in ACP will be directly served without caching, but now I realized that doing so will kill the purpose of image proxy in the first place.