I had a similar problem using GATK BaseRecalibrator and Ensembl v103 VCF files for --known-sites. I initially thought that it was a version problem but even using the latest version for GRCh38.p13 (v109) I still had the same issue.
Errors:
A USER ERROR has occurred: Error while trying to create index for homo_sapiens-chr3.vcf. Error was: htsjdk.tribble.TribbleException: The provided VCF file is malformed at approximately line number 4431575: Symbolic alleles not allowed as reference allele: <W>
A USER ERROR has occurred: Error while trying to create index for homo_sapiens-chr17.vcf. Error was: htsjdk.tribble.TribbleException: The provided VCF file is malformed at approximately line number 19739670: Symbolic alleles not allowed as reference allele: <Y>
So I just got rid of all symbolic refs, characterized by having <>. However if you are dealing with CNVs or Structural variants this is not recommended:
input_vcf="homo_sapiens-chr17.vcf"
output_vcf="homo_sapiens-chr17_wo_symbolic_refs.vcf"
awk 'BEGIN {FS=OFS="\t"} /^#/ {print; next} $4 !~ /[<>]/ {print}' $input_vcf > $output_vcf
Apparently, GATK expects a single allele in the reference. After this change, it worked.
P.S. for some reason only chr3 and chr17 had this problem.