It seems that links in a post's preview don't appear to highlight in the red-orange color that they do in posts proper, though the links do appear functional in the previews.
Inspecting with Firebug it seems that color: #dd2727 is being deprecated by something, as well as text-decoration: none; though it does seem that the text-decoration should be none anyways. Though it seems the reason that was deprecated is because it's now controlled by the site.css .postMessage a { color: #a33333 !important
The specific link type would be in a div.row.previewArea though I suspect editing styles.min.css entry a{color:#dd2727; to a{color:#a33333; !important might fix it on its own. Failing that div.row.previewArea.a{color:#a33333; might work.
I also took a look at the markdown js, pretty neat how that works.
Should be fairly easy to reproduce. Just create a new thread and type out the markdown for a link and observe the generated preview.
Not sure which forum software you guys are using as a base but it's a pretty easy fix. After correcting the css you'll need to refresh your caches for it to take effect.