I originally reported this as a bug here, but Mike said it was as designed. However, I think it looks a bit odd and it's also a bit inconsistent since it's not part of the link in other areas prefixes are used, such as the discussion list and New Posts page.
Are you talking about Latest Alerts? It doesn't bother me personally that they're linked there, but I have to say the way they're worded as part of the title is a bit awkward: "So-and-so created a thread called "Prefix_Thread Title." On second thought, maybe we're talking about the exact same thing, I just don't care that the button is clickable.
Edit: There might be a better solution, but maybe just take out the word "called"? Then maybe it wouldn't bother us nitpickers so much.