They should. I use the Fanboy Anti-Facebook list (https://www.fanboy.co.nz/) and the avatars from FB on SO don't load for me.

You might like umatrix (same guy afaik). Change settings to load only first-party sites then unblock other sites as necessary.

Yeah I love umatrix. Sometimes it's awful and it takes an extra few minutes to figure out the magic combination of things to allow. Sometimes it breaks a page altogether and I use an un-Matrix'd Chrome as a last resort (which I wipe after use). But I think it's worth the hassle.