Yes, %20. And generally, you are correct. I don't mind linking, but it wouldn't let me link in the original query for some reason.
Did you just copy&paste the link from somewhere? PM doesn't do any encoding for you, it just uses your text to generate HTML. Depending on the source of your link, you might have to do the encoding step manually (or run it through a browser url input once). And you have to add the link HTML tags yourself, PM doesn't do that for you.
<a href="https://example.com/Hello World">Examle link</a>
<a href="https://example.com/Hello%20World">Example link</a>