Thanks for this follow-up information.

I didn't think to specify the location of the message when I originally posted: it was the Chatterbox. It didn't occur to me to check in my Message Inbox (probably because I hadn't actually sent the message), so I've no idea whether links were rendered correctly there.

I can report that the notification of your reply (the one I'm now responding to) appears in both the Chatterbox and Message Inbox and all links look fine, i.e. no instances of [id://nnnnnn] or [[xxxxxx]].

Hopefully, that narrows down the issue for whoever is looking into it.