Discourse can download the images, the problem is that when Discourse downloads a remote image, it creates a markdown tag for the image. If a markdown upload tag is wrapped in HTML tags, you will get a broken image link. In addition to the topic that I linked to, there is also a bug report about the issue here: Markdown rendering issue with image surrounded with HTML.
Yes, it could be difficult to know ahead of time what domains images from an RSS feed will be served from.
Can you double check to make sure that the correct domains have been added to your disabled image download domains site setting? I would expect this approach to work, but it may be that once Discourse has downloaded the image it will keep using the downloaded image even if the image’s domain has been added to the disabled image download domains setting. If that is the case, you could try deleting the topic to allow it to be recreated the next time that Discourse polls the RSS feed. Let me know if you can’t get this to work.