For example, I have an & in the href. It was copied from an email where & was saved to &.
This link can be looks like https://site.com/page?utm=abc&data=test
Hi Oleg and welcome to the community! 
Thank you for your rule suggestion. It looks like a somewhat specific use case, and in some situations, having an HTML entity in a URL could be perfectly valid.
In order to consider this rule suggestion we would need more details. How often would an HTML entity in a URL correspond to an actual mistake and how often would it be valid? Would it be a mistake in the majority of cases, and if yes do you have any numbers to support that? Do you know about any articles or blog post that talk about this or do you have any other references with regards to this problem? What would a rule description for this problem look like?
If you can provide us more details we will be more than happy to consider it. Thank you very much for your time and effort! 
Cheers,
Malte