There is an automatic way of creating links with
org-store-link (C-c l).
With the cursor on the header, call
org-store-link. Then, on the link position, type C-c C-l (
org-insert-link), and then M-p (or up arrow) to get the stored link and insert it. And it works!
The resulting documents are:
** [[./projects.html][Software & Services]]
** Somewhere else
This is a [[file:a.org::*%5B%5B./projects.html%5D%5BSoftware%20&%20Services%5D%5D][link]] to the first heading.
Note that this procedure automatically url-encodes your heading contents.