Sometimes, when the Admin screens put things like post categories and post titles on the screen, they are run through filters (so plugins can modify how they are displayed). Sometimes, they are not -- it isn't consistent. Here are some places they need to be added:
1) Dashboard screen: "Latest Activity" section filters post titles in "Posts" section but not in "Comments" section.
2) Manage / Categories screen: Category names are not filtered in the list of categories, or in the note about deleting section.
3) Blogroll / Manage Blogroll, Add Blogroll, and Import screens: Link titles and categories are not filtered (see ticket [3595 #3595], where patches will be added)
This is a MUCH reduced list, as compared to version 2.0.6, by the way! Thanks!
I will attach patches to add these filters.