I have investigated this and come to the conclusion that this is a bug in the implementation of PropertyLinkCollection and I have filed a bug report for this. You should be able to add default links in the form "<links><a href="a">a</a></links>". A possible work around that seems to work is to go to admin -> "Edit Custom Property Types" and change the base type for "Link collection" from "Link collection" to "Long string".
EPiServer Development Team
In admin mode I try to set a default value on a link collection property with no success:
"Object reference not set to an instance of an object".
I have tried with different strings like <links>.... <ul>... etc.