I have had a number of people messaging me because they are concerned about the issue of off-site images being used by a forum member in Private Messages to track IP addresses on this site.
As far as I am aware there is nothing illegal happening here. The only information that can be gathered in this way is the IP address that you had when you looked at that image. This is no different to your IP address being logged on every website, advert or blog that you look at, and with every email that you send.
However, if the person embedding these pictures in a message already has information about you, including the same IP address, then he will be able to cross reference them. The only new information that this would provide is that user A on this forum and user B on his forum are probably the same person.
He is still obliged to protect your personal information under the Data Protection Act of course.
I have disabled the use of images in Private Messaging, which should make this tactic more difficult.