It is, and so is media loading.. which no one ever talks about they just harp on relays.  VPNs or relay proxies that you trust are the only solution. And probably image proxies if you're doing the proxy option.  Tho I applaud the efforts in attempting a UI for connections, it has enabled me to see that using nostr means you go to weird servers all the time.  At least nevents don't have JavaScript payloads or anything, it's safer than browsing (I think).  But images, yeah those are likely the most dangerous thing.