I would say that you’re right in that visiting links is probably more common, though in my case I always did that in Reading Mode.
If the update is meant to change it so that clicking through links in Live Preview Mode is the new best-practice workflow, making it so ideally you’re not having to switch between the two, then it disappoints in this regard—visually, this doesn’t look very appealling the way it works at the moment.
Sure, I was just able to reproduce this in the help vault just now so I’ll likely submit a bug report of this not working in the next week.
It’ll include a short video of me selecting link characters in the help vault and having it mostly working as intended, though sometimes clicking through regardless. It’s not exactly something I can discern why it happens as it’s inconsistent, though you’ll be able to see it happening in the video.