My understanding is that images don't federate by default and you'll load the image from whichever server it was uploaded to initially. Uploading an image here in the comment certainly does that:
This post that shows in my instance loads it's image from feddit.uk, even when it shows on my own instance rather than on this URL:
Looking at the federation docs, I'm pretty confident that a link to the image is the only thing going through. If someone uploads that on the server directly, that'll be a link to that server, but it may be a link to Imgur or something too.