I can't fully answer your question, but Power BI does indeed attempt to check the remote CDN for custom visuals if loading them through the normal means, i.e. adding from marketplace or a file. The reasoning is that this is typically faster as all resources are cached, and ensures that the latest approved version is always applied to reports for consistency.
I'm not very familiar with on-prem, but with the regular cloud service, you can specify a particular version of a visual using Organization Custom Visuals, which might not do the remote check and would also allow you to lock down custom visual usage to only 'approved' ones.
Anything else might be a feature request, to the best of my knowledge.
Is this visual published to App Source?
If not, Power BI won't check the visual in our CDN. Intead, it will be taken from Power BI Report.
Microsoft Power BI Custom Visuals