This approach is a variation on AnonyMonk's above:

c:\@Work\Perl>perl -wMstrict -le
"use 5.010;
 ;;
 my $s = qq{Please;, read these&\x23xB0;, before you post 180;, if not
+ absolutely &\x23x2013;, sure.};
 print qq{'$s'};
 ;;
 my $entity = qr{ & [\x23] x [[:xdigit:]]+ ; }xms;
 ;;
 $s =~ s{ (?: $entity , (*SKIP) (*FAIL))?  ; \K , }{}xmsg;
 print qq{'$s'};
"
'Please;, read these°, before you post 180;, if not absolutely &#
+x2013;, sure.'
'Please; read these°, before you post 180; if not absolutely &#x2
+013;, sure.'
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Some notes (update: now with more numbers for your indexing enjoyment):

1. My REPL does not like the # character at all, so it has to be represented as  \x23 in strings and regexes, but it prints and otherwise operates as expected;
2. The substitution regex uses features added with Perl version 5.10:  (*SKIP) (*FAIL) (see Special Backtracking Control Verbs), and  \K (see Extended Patterns);
3. The  $entity regex is very naive (as is the one used by AnonyMonk) and you will have to come up with one that covers all your cases;
4. The  (?: $entity , (*SKIP) (*FAIL))? sub-pattern acts as a variable width negative look-behind by 'consuming' (i.e., skipping past) something that is needed for a subsequent match, in this case a comma following an entity.