They are getting images from somewhere...so...no, this isn't a security feature.
Try from the incognito windows in your browser the image should not show up since no cookies are being sent in the incognito window.
By I also never click an email link to login unless it's a plain text password reset. I receive authentic looking and topical Dropbox share requests from actual contacts (who have been hacked) trying to phish my Dropbox credentials maybe 4-5 times a year so I'm always on the lookout for it. This is a classic attack. Always check the URL!
For example, we use Google Apps at work with our custom domain, with an internal SSO server providing authentication services. You enter your email address, the Google page directs you to the internal SSO server, you get a token, take that back to Google, and you get logged in - no password required.
If Google can recognize your computer without being logged in, it's time to up your privacy settings.