Hi Vincent, the privacy setting to show unsafe content only works for messages that include an external content, e.g. the image is stored on an external server and not included in the message itself. If you’ve received a message containing an image that was included/attached to the message it will always be displayed, you can not disable showing of these images (the image can also either be inline and is shown between the text, or is included as an attachment, that way it will be downloaded after you open it and shown at the end of the message).
If you want to be prompted to download external content in messages please set the privacy setting in Tools > Settings > Mail > Privacy, and use the recommended setting.
Hope this helps,
Paul.