In inline code markup, links are not styled differently than plain text.
This sentence is linked.
This sentence is not linked.
Only by hovering you’ll notice that there is a link.
On Stack Overflow, linked text in code markup gets a different color (+ hover effect).
Example use cases:
Whereas the Stack Overflow main site would display the inline code links in a different color:
Besides that, it’s probably the most basic accessibility/usability requirement: links should be identifiable.