Though this is an older topic, I ran into an issue with links to external files not functioning as expected between the Editor and Preview modes, despite following some of the instructions on this page.
Per the official help docs, you can also enclose links with spaces in angle brackets (<>). Using this convention looks to be properly picked up by the parser.
e.g.
[pretty name](<file:///drive:\path to file\file.ext>)
Using %20 did not function properly in Preview (but did work in the ‘link’ portion of the Editor mode). Hope this helps some other people trying to make heads or tails of this.