The biggest reason for the rule was because when bandwidth was a premium for website hosting, if you hot-linked a picture, they used to re-direct it to explicit material to discourage you. So lets say GB posted a harmless picture about bunnies and hot-linked it, he would see the bunnies do the saved local copy in his cache, but us who didn't see it on the source site would see your worse nightmare in explicit poses.
That said, Mont is correct that imgur.com is the recommended website for linking to pictures from (which I use myself). It does get enforced from time-to-time, but usually only because it comes up with things like "STOP HOTLINKING US" picture, or the above.
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