@ Xavier
Sorry, but there is really nothing simple about a photo from a URL, implementation or for the user. It has to be implemented perfectly otherwise it is a security hole waiting to be exploited. Granted, I could likely use many of the core WP functions it uses to mitigate risk. As for users, my personal experience with assisting all sorts of computer users is that they have a hard time entering web address … ok may a slight exaggeration, but you get the point, right? Asking them to try to figure out how to get a URL to an image, am I sorry, but it is asking for trouble. Out of all the questions I do get I do believe I’ve never had anyone ask me how to select an image because I do not think it can get more simple than clicking a button and choosing an image.
As for adding it as a free extension … I do like the idea to give more advanced users the option and it would be useful for the CSV Import too. I’ve added this to my feature request list. Thanks for the suggestions, they’re always welcomed!