Thanks!
When Outlook download images in an email it saves them into a temporary folder. When you later open the same message that locally stored copy will be used rather than downloading the message (assuming the local copy is still available), so Outlook isn't actually downloading it a second time.
If you open the temporary internet files folder you'll see the downloaded files there.
What I do notice is that if you then delete the temporary files and open the email again it will at that point download the images yet again, so clearly Outlook must mark the fact that you want to download images in that message somewhere. According to some sources I've seen, after downloading the images the email is saved, which might suggest that it's this action that saves the information telling Outlook you want to view the images.