The behavior has changed in recent versions of SMW. All brackets in property values are now disallowed (not just double brackets). Also, having multiple occurrences of "::" is considered as an annotation with multiple properties, similar to

[[property1::property2::value]].

However, the following works now:

[[String test::Entities hide brackets here [[Test]], what happens?]]

To use "::" in values, one also needs to do some escaping:

[[String test::Entities hide brackets here [[Test relation::Sandbox3]], what happens?]]

Most interfaces will properly display the text by expanding entities. Search interfaces expect the entity encoding to be used when searching such values. The RDF export replaces entities with the encoded Unicode symbols. Another way of setting problematic annotation values is to use the #set parser function of SMW: since it uses a template-like input syntax, it is not sensitive to certain special characters.