No, I think it is a bug, it happens always when the file extension is 4
characters and not 3. I tested with

[a href="javascript:ShowMenu('123/$FILES/My file
here_12.xyz','window')">test2[/a]

and as soon I rename my file and the link to .wxyz it is not found any more by
WinHTTrack. It is not visible for it.

Here the debug log for the .xyz file:
11:14:36	Debug: 	scanning file localhost/TestBug/test3.html
(X:/TestBugHttD/HttDown/web/test3.html)..
11:14:36	Debug: 	link detected in html (tag): 123/$FILES/My file here_12.xyz
11:14:36	Debug: 	position link check 123/$FILES/My file here_12.xyz
.
... and so on...

When i use a .wxyz it reads like this:
11:15:34	Debug: 	scanning file localhost/TestBug/test3.html
(D:/TestBugHttD/HttDown/web/test3.html)..
11:15:34	Info: 	engine: postprocess-html: localhost/TestBug/test3.html

So, it doesn't recognize the link in the first place.