I poked around the Apple Discussion boards and saw that others are likewise having the same problem, though a solution remains elusive.
As AOL is my ISP, I logged-in directly to my AOL account and then attempted to see the same email experienced the same issue. It does, in part...
What I get is an alert: This email contains an embedded image. Do you know the sender, want to open it? Well, something like that.
When I gave permission to open the email & the embedded image, it opened as designed.
So it may be that when AOL "sends" the email to Mail, the filter automatically kicks in, but without a way of granting permission to view the image.
I hunted about AOL's preferences, but I could find no setting to alter the situation.
Confusion reigns-
