We're running SharePoint 2013 and allow external access via Microsoft's Web Application Proxy. When I connect to SharePoint from it, the profile images do not load because they are served up from the My Site hostname. Same server in our case, but different hostname. If I login to my a My Site externally, authenticating again, and then refresh the SharePoint page I'll see the images load up.
Shouldn't my session created with SharePoint apply to the My Site so I can login one time and visit different resources offered through the proxy?
Figured it out. The issue was not with the proxy but with the ADFS server. I needed to configure it to not require logins for each resource request.