This is the correct behavior. The proxy is primarily designed around dealing with SSL issue and is specific to your site, so it explicitly blocks third party referrers for example. As such, it's not appropriate for emails.
Let's suppose that 1000 users are subscribed to an important category. Email notifications.
Anyone could add an image tag and get important informations out of those users.
I understand that it's probably beyond paranoia for mosts of you.
And yes, the limits on the image proxy referrers would be a problem.