What does 'opened by proxy' mean, and why do some say they didn't receive?

I have a couple of email recipients on the "hotmail.com" domain using an iPhone to open their mail. They are saying that they are not receiving emails. When I look at the Activity Log for these contacts, I see the following message: "Proxy opened email (Mail Privacy Protection)". I am not sure if this is coming from Hotmail or the iPhone iOS, or a combination. Anyway, these contacts say that they do not see the emails in their In Box. Anyone seen this before?