Punctuation is not part of the link, so it should be excluded. I don’t see how this could even be a problem.
The link text may appear in various contexts, for example in a list of all links on a page, or as read by a speech-based user agent in links reading mode. It may also be highlighted on mouseover or when clicked. Thus, any punctuation that is not logically part of the link text itself may confuse or disturb.
Of course, any punctuation that is part of the link text should be included. Compare
Have you read <a href=...>The Grapes of Wrath</a>? with
I watched <a href=...>When Did You Last See Your Father?</a>.