If you don't visit the site explicitly, just have the site somewhere in a list/bookmark/whatever, that site now has your IP address and basic header info when it needs to go retrieve it. By going through DDG, the site has a bot hit.
To me it looks to be trying to uphold your anonimity until you commit (click) through to the site/link. But certainly other ways they can approach this if it really bothers people.. I'd prefer DDG doing the lookup.. or having no fav icons.. over my computer going and downloading all my bookmark or other source icons
