Technically, hotlinked images are not a part of your site. Just as RSS feeds are not yours either. Nor are advertiser's iFrames. But that doesn't mean you are in the clear.

Think of it as you painting a picture, but someone else does a section of the canvas. Your name is signed to it, so everyone will think you were responsible for the whole thing ("whats under the address bar").

I wouldn't hotlink to XXX (or even use RSS) and consider this to be risk free given how things appear on the surface to people who may not be looking at source code.