Does it really matter? You don't have to cache the images, if you do, you're only going to waste your own bandwidth

Granted an image from another host may take a while to load, and potentially slow down the page.. (most of the it shouldn't for avatars..)
It's not going to affect your server in any way, because it's at a remote location. Also it's going to use less of your precious bandwidth because it will be loading from a different host. Where as if you cache'd it, it will always load from you, causing more stress on bandwidth