Our practice as I see it, is that they get removed if they are brought to our attention. Moreover, SE has mechanisms in place to handle things like take-down notices; but this is not something with which per-site moderators are involved.
If a user would repeatedly post links to a problematic site (to promote that site) it would be considered as spam and dealt with as such. In most case, this is however not the case.
The specific case you bring up is rather unusual; the comment should be removed for other reasons, too.
Requests for electronic versions of books
What is the policy regarding mentioning that a book is available to download via BitTorrent
Sharing non-legit book source on MSE