How secure is Apple's Mail Privacy Protection?

Apple states the following about their Mail Privacy Protection feature:

The Mail app can help protect your privacy. Email messages you receive may include remote content that allows a sender to collect information when you view a message, such as when and how many times you view it, whether you forward it, your IP address, and other data. Mail Privacy Protection prevents senders from learning your information.

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When this option is selected, your IP address is hidden from senders and remote content is privately downloaded in the background when you receive a message (instead of when you view it).

https://support.apple.com/guide/mail/use-mail-privacy-protection-mlhl03be2866/mac

I can't find more detailed information on it, but as far as I understand they download all attachments on a proxy / cache when you receive a mail and you as a user get it from their proxy / cache when you open the mail.

This seems way more dangerous to me than just blocking all remote content in my client and filtering malicious mails for phishing and malware on my own. How do I know the cached data Apple provides me via its Mail Privacy Protection feature when I open a mail is not malicious?

Mail Privacy Protection protects your privacy by fetching content linked to mails only once (so senders don‘t see your IP and also don‘t see how often you access certain content or how long it takes you to access content once you‘ve received a mail).

It doesn’t protect against malicious content behind such links, so you may still get viruses and malware through attachments or mail links.