ouch, that is not good.
I am torn on this one, on one hand, it is correct for system to be notifying you, it just went ahead and downloaded a remote image you hotlinked locally.
On the other hand this may be a bit on the loud side, I guess the “best” way to act here is to allow users to opt-out of this type of notification after they get the first one.
EG:
“I understand all my hotlinked images will be downloaded locally don’t bother me anymore with this [ ]”