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If the server running on links.example.com, wouldn't the 3rd party web server lose out on doing things like setting cookies in the client's browser or determining their rough location via IP address?

Not that I'm particularly a fan of either practice, but there's probably some use cases there that would have to be accounted for in some way that the 3rd party service could accommodate.

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If that were needed perhaps links.example.com could display an iframe containing the third party site.

I agree that neither approach is ideal, but it would prevent users from receiving third party links in their emails.

Those cookies would be blocked for browsers with 3rd-party cookies disabled, and Firefox is making that option the default at some point in the near future.

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