When editing another user's post, I noticed that raw
https links to locations on the SE Network are not prettified in the previewer in the same way
http links are.
When actually submitting the change and viewing the live post, the links (both
http) are prettified as expected. So the problem seems to be limited to the previewer.
I see this behavior using Google Chrome Version 41.0.2272.89 m on Windows 7, with and without all userscripts disabled. Several users have confirmed the behavior on different browsers in the comments. I have posted an answer at the Formatting Sand-Box for others to test on different browsers/platforms, if desired.