There's a lot of things that can track presence around the web and gravatar's not one of them. Iff you decide to implement gravatar without mirroring their images, avatars are indeed loaded on their first query (and not subsequent ones) and,
god knows what they're doing with that information ohgod. They certainly can't "track my presence around the web", though - no js means no fingerprinting, no tracking cookie, nothing. Juuuust a blind IP address.
But the recommended way is to prefetch the avatars directly from your server and offer them on your own cdn.
As for the value it provides, well for one thing I pretty much never have to upload my avatar to websites anymore - it's an avatar attached to my email addresses instead and that's very nice. Of course I'd prefer a proper identity protocol but nobody's working on one. If you want to, be my guest...