External Image not display in outlook email

I am running to a wired issue. When we receive email from external vendor, the image in the email will not display. I got error message: “The linked image cannot be displayed. The file may have been moved, renamed, or deleted. Verify that the links points to the correct file and location.” However, if I click on the link and open it in browser, I can see the image. if I disable the Zscaler agent, image will display in outlook email.

I am using 3.5 Zscaler agent, Tunnel 1.0 packet filter forwarding with dedicate proxy port.

Any suggestions on how to resolve this issue are greatly appreciated.