Because when they do, ArcGIS Pro grumbles in muted shades of red...
which causes me to grumble in muted shades of red, too. I prefer to produce in happy shades of green.
This really is the same issue noted here BUG-000123734: The error message "folder contains invalid character..
That specifically notes the '/' character, but an ultimate fix would need to allow for seamless sharing between Pro - Online/Enterprise. The screenshot in the idea points out ':' as an issue.
Note the workaround listed in that bug:
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