Interesting, thanks. So apparently you're supposed to add

  autoload -Uz url-quote-magic
  zle -N self-insert url-quote-magic
  autoload -Uz bracketed-paste-magic
  zle -N bracketed-paste bracketed-paste-magic

to your zshrc to enable it.

It doesn't seem to escape $ (e.g. in <https://example.org/$PATH>), which doesn't inspire confidence…

Are there any equivalents for bash?