What is more concerning is that other document formats seem to have such a capability, too. When viewing HTML from a web site with a web browser, there are other ways of getting information on who is browsing the data, but when viewing a document in another format from an email few users expect that the mere act of reading the document can be monitored. However, for many formats, reading a document can be monitored. As noted in their advisory, recent versions of Microsoft Excel and Microsoft Power Point can also be bugged. In some cases, cookies can be used to obtain even more information.
Web bugs are primarily an issue with the design of the file format.
If your users value their privacy, you probably will want to limit the automatic downloading of included files.