Hello,
I'm using CB PB Latest on J1.5 + CB1.8 and it's working. I'm using it on J2.5 + CB1.8 and when I save the module the <a href="{e}">any text</a> becomes "any text", so the "{e}", for some reason on J2.5, seems to be deleted.
You should open /modules/mod_cbpblatest/mod_cbpblatest.php with a text editor, find the right $entry_text (there is more than one, based on the mode (e.g. Guestbook Mode, ...)) and modify manually. Anyway it would be good to have an official fix or to know what to do. Hope it helps!