The other person explaining is definitely right. Also FYI what you are describing is called hotlinking and is generally considered to be bad internet etiquette because it adds load to someone’s server without driving real traffic to their site (although there is some debate around this that’s been ongoing for 30 years lol). The “best practice” is to copy the actual image (not the link) and paste it into Boost, and that should automatically upload the image to your lemmy/piefed instance and host it from there.

Probably because of the cloudflare layer. It shows me a captcha when I click on the link to your image, so it makes sense that embedding wouldn't work correctly.