Hey Richie!
I don’t know about Discourse being able to download very large remote images.
However, I remember that previously, when you hotlinked a large image, it displayed a message like “This image is too large to be displayed in the forum”, with a link to the external picture.
It seems it doesn’t happen anymore.
Pasting an external, large image link (https://upload.wikimedia.org/wikipedia/commons/0/0b/New_cyclic_large.gif - 11 MB GIF) , I can repro your issue:
It looks very much like a bug and possibly a regression.