Yes, you're correct in your understanding.
You've got one other option, and that's to do it manually using the Sprite -> Load image from URL action. The idea here is that you use dummy or low-res images as the sprite images, and then, as necessary, load their high-res versions (probably pre-load it in the preceding layout). These high-res versions can be stored in the project folder and retrieved with a relative URL.
Here's an example of it in action, and here's the capx. It's set to change at 1 second just to make it noticeable on high-speed connections. It'll sit in the browser's cache once it's downloaded.
The only real caveat is that you don't have much control over this system, other than creating a very laborious, or very smart, chain of On image URL loaded conditions to ensure the player can't continue until everything is loaded.