SpamFilter picks up various href tags embedded in HTML emails, both linking to URLs and to images. Sometimes the hrefs are encoded, other times they are simply incorrect. SpamFilter does not currently perform additional URL validation before submitting them for DNS lookups, which is why you will see these (innocuous) errors in the logs. 

Performing additional validation before actually checking a URL's domain in DNS would indeed eliminate most of those errors, however validating each URL would add (likely minimal) overhead to the entire process. As most of the times the URLs are actually valid, it was a judgement call on our part as so whether or not to validate URLs that would likely be valid to begin with. We opted not to, but this may change in the future if we see this to become a problem.