If at some point in the past you clicked on "Always display images from" and the sender's address, they will be displayed anyway, without an option to ask you. That is how it is supposed to work.
I could be wrong, but I find there are images and then there are images. Some images seem to come through regardless, while others are blocked until I approve them. Maybe it depends on the kind of image file, or whether the image is embedded in the message already or loaded from a website at the time you display the message.
Andy