It's not about what html escaping is or how it's done, but if there's a best practice on when to do it.
I have a program code in my plugin that can generate one
WP_Error based on user input and other display codes that indicate this
WP_Error, Of course, this user input must be html-protected on display, but I'm not sure when would be the best time to do so.
I have the choice, if I:
Escape the message while I'm building
WP_Errorand the display code shows it as it is.
Do not worry about escaping while building the
WP_Errorand completely avoid it in the display code
Either would work, but if my plugin interacts with other plugins and may display them
WP_Error or vice versa, I would like to agree with the precedent existing in the WordPress world.
I had hoped that the documentation would address this, but I have not seen anything at https://codex.wordpress.org/class_reference/WP_Error