Please refer to the following question:
Surprisingly, an auto comment saying "possible duplicate of ..." was not generated.
I agree that the referenced question shows up in the linked questions list but an auto comment ought to be generated. Seems like a bug.
EDIT: I understand that the above behavior is by-design. However, I'd say that the behavior in the following case should also be the same:
It's interesting to see that the auto comment would be generated if you were to add a comment linking to an answer and then voting to close the question as duplicate. For example, observe the following question: