Directly links to Phabricator may be a bad idea. Compare:
T111112: Make MediaViewer error reporting link useful or remove it
T188729: Remove Phabricator link in MultimediaViewer's "The file cannot be displayed" dialog
T195539: Re-evaluate error handling
T209336: Do not use Wikimedia Phabricator as a general feedback venue for UploadWizard

There are two types of wishes or bugs: the ones caused by or to be fixed in the particular Wikibase installation and the ones caused by or to be fixed in Wikibase in general for all Wikibase installations. It is unfortunately very hard for "normal" people to distinguish between the two and sometimes it could go either way.
So my preference would be a local place or process (like contact the dev team on Wikidata) where people from the particular installation can report wishes and bugs and then escalate them to phabricator if needed. So far it didn't seem much of an issue though for the other Wikibase instances for all I can tell because they tend to have their tech-person who handles things so far.

Yes. But do Wikibase installation owners and technical people know how to escalate those issues? I think they're escalating them but through private channels, which implies that, if the problem is theirs, the next user with the same problem doesn't find anything in a web search or in the documentation and asks again; and, if the bug is in the software, it is sometimes forgotten or bypassed, or even the user decides to change the use case, before the bug translates into a Phabricator task.