How to reproduce:
1. Install Link Shell Extension
2. Create a new project
3. Create a Symbolic link to a folder outside the Assets folder in the Assets folder (Right click on the folder and click "Pick Link Source" > Right click in the destination place and select "Drop as..." > "Symbolic Link")
4. Drag and drop an existing scene into the Symbolic link folder
5. Save the scene

Expected result: Saving the scene is not allowed
Actual result: Scene is saved

Reproducible with - 2017.4.28f1, 2018.4.1f1, 2019.1.4f1, 2019.2.0b3, 2019.3.0a4

Notes:
Creating a scene with a right-click in the Project Window is also allowed