The real problem here is not the lack of punycode encoding, but rather the inappropriate application of percent-encoding to the domain part of the URL. Simply leaving the Unicode characters in the domain name un-encoded, as in:
makes the URL into a valid IRI, which all modern browsers support.
The fact that Chrome, apparently, also accepts the invalid percent-encoded domain names (and decodes and re-encodes them as punycode) does not make this behavior correct or desirable.
Addendum: Another related problem, which I did not realize earlier, is that the SE Markdown converter does not support un-encoded Unicode in URLs.
This should really be fixed properly, by adding true RFC 3987 IRI support to the converter, but in the mean time, a sensible work-around would be to at least make the "Insert Hyperlink" button in the Markdown editor use Punycode instead of broken percent-encoding for IDNs, as suggested above. This does require some non-trivial processing, but fortunately, there are existing libraries available for it.
Ps. Version 1.18 of the Stack Overflow Unofficial Patch user script now contains a client-side fix for this issue. The fix consists of two parts:
A monkey-patch to the Markdown editor "Insert Hyperlink" dialog that converts any URLs entered through it to use Punycode host names (using the punycode.js library by Mathias Bynens).
A content filter that automatically decodes any inappropriately percent-encoded host names in existing links within posts and comments.