I can imagine some reasons why it would work better than merely checking the URLs when filtering: not rewriting but simply checking and scoring against other spam rules. But also see reasons why it secures less well.
Pro: you can block URLs post-delivery. E.g. an advisary changes the link to malware or phishing after some time/n requests/based on user agent. Con: all encryption, including DKIM, GPG etc break.
Edit: to clarify why I don't understand why this works: and advisary can still do the same: i.e. serve an innocent page to the checker but then a bad webpage to the actual visitor. Not trivial, but not hard either.
A good middle ground might be to scan URLs on the mailserver against lists and maybe open the page and scan its content before delivering. Then have the client intercept links and redirect them through another on-demand checker?
Because obviously, training people to "not click links in emails" or use only plain text or both, hasn't worked in the last decades.