If you choose to turn it on, Mail Privacy Protection helps protect your privacy by preventing email senders, including Apple, from learning information about your Mail activity. When you receive an email in the Mail app, rather than downloading remote content when you open an email, Mail Privacy Protection downloads remote content in the background by default - regardless of how you do or don't engage with the email. Apple does not learn any information about the content.
In addition, all remote content downloaded by Mail is routed through multiple proxy servers, preventing the sender from learning your IP address. Rather than share your IP address, which can allow the email sender to learn your location, Apple's proxy network will randomly assign an IP address that corresponds only to the region your device is in. As a result, email senders will only receive generic information rather than information about your behavior. Apple does not access your IP address.