Including resources from a third party site means that you include resources in your page where you have no control about the content of the resource. Thus, even if the content was the expected one at the time you've added the link it can change whenever it suites the owner of the site - or somebody which hacked the site. This is not restricted to a redirect as you envision but the third party site can serve a different content in the first place.
And while replacing images will usually not result in unwanted code execution (unless another bug in image processing is exploited) you can get instead an image you don't actually want on your site. For example some sites punish unwanted hotlinking with "special" images but it might also be more harmful be used for phishing attacks as seen in this answer. See also this question for more ideas.
For some types of resources and for some browsers subresource integrity will help to detect if third party resources gets changed and not load the resource in this case. But, this currently works mainly with script and css and for example not with fonts or images. And, it works currently only with Chrome, Opera, Firefox and Safari.