The recent instructions on how to avoid exposing your IP address are to change a setting and to never click on links (and also use a mail provider that does not send your IP address in headers).
Would is be a UI improvement to have a “Warn me before any action which could expose my IP address” setting? This could warn with a (default-is-cancel) popup when a link is clicked.
Reason:
It’s pretty hard to never accidentally click on a link, and if I was, say, a journalist under an authoritarian regime, I’d be unwilling to bet my life on it. Actually, I think I’d want the setting to be something more like “Don’t let me expose my IP address no matter what I click on”.