If you list the actual DOM (or HTML-stuff) of the rendered markdown for some links and a query returning a task, you’ll get the output shown below:
What we can see here, is that both the existing and non-existing link are shown as <a href ...> ... link </a>, or ordinary html links. The task on the other hand, is just shown as a <span ... >My task</span>. It’s in no way an ordinary link, and as such doesn’t have the same context menu as ordinary links.
The reason some actions work, at all, related to task lines is that Dataview has linked some actions related to clicking on these lines, and then performs those actions. I’m not exactly sure on the inner workings on this, but they’re in no way ordinary links, with the ordinary context menus which links have.