I just checked the links category page and All of the links pages and HTML Tidy didn't show this warning anywhere.

The only warning I did see was about using & instead of &.

So I'm not sure where it is coming from.

One place to look would be:

includes/functions/links.php

and check this line of code

$image = '<img src="' . zen_output_string($src) . '" alt="' . zen_output_string($alt) . '"';