This is true, but linking to data URIs no longer works. Many browsers block them for "security reasons." In Firefox, a link to that page is not clickable for me:
From a convenience standpoint, it's also far less likely that a URL with an http: scheme will be blocked by a random web application than one with a data: scheme. For example it makes sharing on social media sites and chat applications more feasible.
You can even base64 encode them, if you want to.