Example use case for proper escaping is noting ranges of episodes or issues in the title (Amazing Spider Man (1963) #121-123), since without escaping “#”, a tag would be created.
Proposed solution
Make escaping work like everywhere else in the note.
This shouldn’t create a tag (and didn’t when I tried it) because number-only tags aren’t allowed. Tags - Obsidian Help
(The help post actually says a tag “must contain at least one non-numerical character”, and the dash would seem to qualify. I don’t know if that’s a bug or if it’s intentional that a tag with only numbers and a dash is invalid, but I think it’s sensible behavior).
It didn’t create a tag when I used valid tag text in a wikilink’s text, either.
Putting a valid tag in the text of a Markdown link (as in your second example if the backslash were removed) does add it to the tag index, so there is another inconsistency. I think it would be good to disallow that (but that’s another feature request).
Live Preview incorrectly highlights it as a tag but it’s not one. If you switch to Reading View, which renders more accurately, you’ll see it’s not highlighted as a tag. And if you search tag:121-123 you’ll get 0 results because it hasn’t been indexed as a tag.
(I didn’t notice the highlight until I saw your screenshot because I have a snippet that makes tags look like links).