We are having the same issue.
/1.1/direct_messages/new
With ours we send a unique url for the user redeem a promotional store credit that we don’t necessarily want posted publicly.
Sending without the link works.
I understand how limiting messages to not have urls could be used to prevent spam, but for us it’s in no way or shape spam. We only send one DM per user at a really low rate. I went through and read the API terms as well as the Abuse & Spam article, it doesn’t mention restricting use of links.