Baloney. This has nothing to do with security. Even if you're chatting with me and you link to www.pleasegivemeviruses.com, nobody at MS should overrule that piece of conversation. Maybe I wanted the link. Maybe we're both security researchers. Or maybe I'm gullible. Who's to decide?
I've chosen to chat with you, and you've chosen to say something. Normal human trust mechanisms apply. Censoring our conversation because you think you know what's best is ridiculous.
The minute I thought a chat client was actively thwarting my conversation, I would uninstall it.
You could argue that it's for the user's security. Torrent sites do have a lot of sketchy cruft.