With total respect for @ipstenu and other wp core devs, I guess i find myself a bit confused by a response from this thread:
If WordPress always added in features that are basic, but not NEEDED, then we would have severe feature bloat. There has to be a bigger use-case, more people needing it, for it to make it into core.
I guess I'm confused because it would seem to me that stripping HTML would be a feature (it's an action), and leaving HTML (an inaction) would be the default, so I guess I don't see why it would be bloaty to (as I would consider it) "remove the widget title HTML stripping 'feature'".
(of course, this plugin will do the job just fine: http://wordpress.org/extend/plugins/linkable-title-html-and-php-widget/)
I welcome being corrected in my naievete :-)