It actually does, external images just can't be added from lemmy-ui, in user settings they are stored as a URL so they definitely support them. You have to use the edit and resend option on DevTools or another form of API access to add a profile picture hosted elsewhere which is what I did on my lemm.ee account.

Though for that I'd recommend hosting the images somewhere you have full control over them like Github or Codeberg, that way you can swap them out later without having to repeat the DevTools process in the future if you want to change your picture.