Data is expensive in QR land or your resulting QR code becomes larger in size, requiring more physical space to display. URL encoding has a lot of overhead. Also '\' escaping has preceded the existence of URLs. I'm not sure who is doing the reinventing here.

Only encoded characters take up more space and you don't have to escape: quotation mark, semicolon, comma, colon or backslash.

So I think the difference is small. QR codes can contain quite a bit more information than what's needed for WIFI name and password.

In countries that do not use English as the main language, it is fairly common to have non-English SSIDs. URL encoding is incredibly inefficient when encoding those characters.

QR code is not particularly dense (like compared to something like a hard drive) - why waste space that could not be put towards more redundancy (error correction)?

At equal printed sizes, QR codes with less information are much easier/more forgiving to scan.