I prefer the existing functionality for a variety of reasons and think automatic file creation on linking should be optional. I don’t want those files around until I’m ready to create them.
Re: Italizicing non-existent links:
I have many links that are titled after books and other sources which are already italicized.
I think an “exists” class in the CSS might be preferable, so it could be italicized, highlighted, differently colored, or just left alone in whatever way an individual prefers.