Chat and comments use mini-Markdown for formatting, so it's expected that their behaviour may sometimes be slightly different than the actual Markdown parser used in posts.
Since the auto-linking of completely bare URLs is a custom extension of the Markdown parser used here, it's hard to tell if this behaviour is intentional or not. Looking at the code though, this step happens after other link forms have been converted,
so I don't see any immediate reason that the match pattern couldn't be updated with the one used in chat. so provided the proper precautions are taken there's no harm in making the swap – which balpha has now done, making this status-completed once deployed.
You can also use the Markdown-compliant syntax, by surrounding the URL with angled brackets. For example,