Facebook is doing this for a while. Pretty sure they always checked privately sent links. Some years ago I sent a .tk domain to a few friends and it got shadow banner after a few minutes (it was a harmless meme site).
When faced with software/malware that was appending links to user's instant messages back in 2005, back-end code to silently drop the user's messages was put in place. This was a messaging service that had ~200 million users.