NAB Australia does exactly the same thing. Unless I "load remote images" when I receive their emails, they'll start mailing letters saying that they switched me to paper statements as their emails are not going through. It also took me a bit to investigate as their emails were obviously coming through.

I'm in two minds on this - the bank does need to know that its communications are being received

But, they have no idea if the paper statements are making it to your desk, or if they are getting swiped from the letterbox (I'm in an apartment in Melbourne, and the snail mail is not reliable at all, mail is sometimes delivered to the wrong building, sometimes the wrong address entirely, it's also swiped by miscreants who have nothing better to do, and, in some cases, the pricks set the letter boxes on fire, taking all the mail with it)