It doesn't work for me using IE9.

Go to HTML mode and paste in (remove _REMOVE_):

<a href="j_REMOVE_avascript: window.confirm('close window?');">test link</a>

Switch back to NORMAL and then HTML again and you will see:

<a href="j a v a s c r i p t: window.confirm(" close window?');"close window?');">test link</a> 

I could not reproduce in Chrome.  What browser are you testing with? 

UPDATE: Looks like this is an IE only issue.  I could not reproduce with Chrome, Firefox, Safari, and Opera.