RTE not respecting my entities

I am generally not a huge fan of WYSIWYG editors, but users demand them, so … the built-in RTE does a decent job, much of the time, and I can always use the code view mode for the rest. Well, almost always: whenever I enter an HTML entity like & it gets replaced with the original character on subsequent saves. Which is usually fine for ö => ö etc, but not for, say,   I certainly don’t want a regular space, I want a non-breaking one.

Is this a bug? Is there another way to insert characters without visual representation? Interestingly enough ­ (soft hyphen) works as intended, i.e. is being left alone by the RTE. Why not space?