Links to malware sites are one of the most used way to infused malware into a company.
So we can place a mail relay in front of the gwia and do a lot of scripting to deactivate the links in all kind of mail (plain, html, ...)
But I think the right place for such is SMG.
Maybe OT will be start a short project for this? Shows links only as text; make it active via context menu and have a white list for trusted domains.