Hi thatsneil,
Sorry for the late reply. Leo is on a honeymoon. I will help him follow the case.
Dev Team has already replied to our escalation: This behavior is as per the design of the Knowledge Article entity. The Knowledge Article entity doesn't allow storage of any unsafe HTML including links, scripts, etc.
I think above info could help you resolve mentioned question.
While we could repro that the published web resource still could not be normally referred in Knowledge Article entity HTML. The link still would be be removed automatically by system after saving the form. So we are still in investigation with Dev on web resources reference topic. Thanks.
Regards
Johnny