Is there a valid use case for this? There might be a bug here, but I'm not surprised you get that error because that isn't a valid URL. (Technically, it doesn't contain any invalid characters or format, but it doesn't contain enough information to be considered a valid URL by Episerver).
Cannot create content with an invalid url in LinkItemCollection.
Steps to reproduce:
1: ContentType with a required LinkItemCollection.
2: Create a new instance of that content in the interface.
3: Add a link with the following url: "http://#"
4: Click "Create"
The http call now fails with the error "Malformed URI? Could not create Uri from link with value 'http://#'."
When this is done on a already created instance an error message is shown. When the error occurs while creating the content the error message do not display and the "Create" button can no longer be clicked and requires a complete page reload.
Tested on the latest version of EPiServer as of 2016-03-05.