TiddlyWiki (both 2.1.3 and 2.2.0 beta 4) don't recognize HTML Entities
in the "pretty label" part of PrettyLinks, and change the "&" into
"&" when they display it. For example, the pretty link below shows
up as "»" instead of as a right-angle quotation mark, and you'll
see "»" in the page source code.
[[»|ForExample]]
Doing "»" on it's own, outputs what you'd expect. Having an HTML
Entity in the tiddler title itself is also problematic (in much the
same way), but I'm not actually trying to do that. I can't see any
reason you wouldn't want HTML Entities as the label for pretty links
though.