This isn't something we do with the wikitext editor, is it?

I don't think so (and maybe we should), but the effects aren't equivalent in terms of user experience. In the wikitext editor, it's possible to find the blacklisted website with a quick Command-F search in your browser. In VisualEditor, you might have to manually click on, and read the context menu for, every single link in the entire article to locate it.

Imagine that an innocent editor opens a page that already contains a blacklisted link. The editor has no idea of the problem and spends an hour improving it. Upon saving, the wikitext editor gives him an error message and the opportunity to spend five seconds finding the link and deleting it. In VisualEditor, the same editor gets an error message and the opportunity manually inspect every single link on the page (including refs). Which editor do you think is more likely to give up in disgust and throw away an hour's work?

Yeah, okay. I can see how this affects VE much more than wikitext editors. I wonder if we can do something more helpful involving highlighting links that'll trigger SpamBlacklist.