There's usually no penalty, though. You hover, and the page preload begins. Unless you're trying to keep your data usage to a minimum, there's no disadvantage to you.
I can see children getting punkd by drive-by prefetch and reporting to teaching staff that X visited a neo-nazi site or, Y downloaded porn during class, etc..
"Prefetch did it" is probably not going to be apparent to most, and is going to sound like a weaksauce excuse.
Every instance of web filtering I've been subject to in my life just blocks the bad page and the admins expect people to have a few bad requests just by accident or whatever. You'd have to be constantly hitting the filter for it to actually become a real issue.