They don't. I believe using this setting it is a good way to prevent tracking by pixel.

In addition, I think enforcing plain text emails would disable any client side tracking events.

EDIT: Well it looks like that setting in Thundebird prevents any remote connections. Not just pixels, so that be good enough. However emails often have a text back up that is going to be better formatted then a hampered html email.

EDIT: To prefer plain text in Thunderbird it is View -> Message Body As -> Plain Text

Do any email clients do the opposite and just download and save all images by default? This would allow your email client to render every email as intended, but would give no useful information to the tracking service.