My findings so far
Damus: leaks IP, (cant swipe to see what user agent says 🙈)
Amethyst: protects IP, leaks user agent (Amethyst/version_number)
Primal: protects IP and user agent (images appear to be proxied)
Gossip: leaks IP, no user agent
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Gossip has an option to avoid loading media remotely, for this exact reason.