If I copy my vault from a Mac in a external disk readable by windows and install Obsidian in the Windows machine and then open the vault in the external disk… everything should work, no?
No - exactly the opposite: absolute links are links including the full (=absolute) path. As the path and folder structure differs between MAC and Windows, you won’t be able to open those links.
Thus, if you have links to pdfs or whatever,
keep those files in your vault and
link them with relative links (you can define obsidian’s linking behavior in the settings).
As long as you stay completely within your vault folder structure, you can work with your vault independent of the surrounding OS.