If I know that user is banned for this reason , it will make me cautious that I should not open any link given from that user in any post or in PM.
Can banned user send PM? I think they can't. If you are talking about PM from previous, in that case, you might be a victim. Remaining a such caution or not remaining a such caution rreflect the same meaning. You can't know the actual output of that link as long as you are not clicking the link. So, better, I will skip anyone who sends irrelevant link.
And suspicious link will definitely be removed from his/her post if the user is banned.