DT3.5 macOS 10.15.5-beta (19F94a).
Create a MD note. In the note, right click, select Insert, select Item Link and make a selection of another note.
Result is (in my case) a blue, underlined link.
Now, save the note. Select another note then select the first note again.
In Edit-Pane, color of link is now same as other text in the note and underlining is gone.
(Preview window always shows the link correctly)
As Markdown is basically just plain text, the editor doesn’t support any persistent attributes. Maybe smart links (see Preferences > Editing or Edit menu) are enabled and detected the link after inserting?
OK, Understand and Smart Links works fine. Thank you for clarifying