Mail on macOS Catalina: Disable "Load remote content in messages"

From https://support.apple.com/en-in/guide/mail/cpmlprefview/13.0/mac/10.15

Load remote content in messages
When remote content is retrieved from a server, information about your Mac can be revealed. You can deselect the option for increased security, but some messages may not display correctly.

Remote content isn’t displayed in messages that Mail marks as junk.

This is found in

... the Mail app on your Mac, choose Mail > Preferences, then click Viewing.