When uploading an image VIA URL via PressThis (http://codex.wordpress.org/Press_This / http://core.trac.wordpress.org/browser/trunk/wp-admin/press-this.php), the image is copied/uploaded to the uploads folder.
When in the non-PressThis editor (i.e. regular editor), when you choose an img src via the Media Uploader (seemingly just like in PressThis), the src remains the URL you entered and the image isn't uploaded to the WP Uploads Folder with the img src now sourcing from there.
Personally, I think they should act the same way, and I prefer the PressThis method because then you don't have to wonder if the URL changes or the image is simply removed from the host URL. Also, this "hotlinking" isn't encouraged by WordPress.
Granted, sometimes it's desired/required/beneficial to src directly from another domain's URL. So maybe there should be a checkbox to ask whether or not you want it copied into the uploads folder - and possibly another checkbox to ask which src to use.
Also, when copying into the Uploads folder, I think the image filename should have some sort of timestamp added to it.
should be copied to "http://domain.com/wp-content/uploads/2011/11/wordpress-logo-hoz-rgb-20111117.png"
instead of "http://domain.com/wp-content/uploads/2011/11/wordpress-logo-hoz-rgb.png" (or anything else that makes sense)
--But copying without a timestamp is better than nothing.