I know that most (if not all) SE sites have a shorthand link in comments. For example, [SO] for Stack Overflow, [Math.SE] for math.stackexchange.com, and [SoftwareEngineering.SE] for softwareengineering.stackexchange.com. Apparently these are not supported in questions and answers. Is there any plan to add this feature or is it intended only for comments?
I don't think that should be implemented everywhere because it's unnecessary.
However, implementing it on Meta Stack Exchange will be very useful as linking to other SE sites are more often here, even more than in comments on other sites.
I do not think this comes up enough to be an issue
I never see another exchange linked in a non-meta question or answer. At least, not properly. Directing users to other exchange sites for more clarity should be done via comments, and as such, does not benefit from shorthand in the actual question/answer box.
It is important to note that I do see links to questions in other Stack Exchange sites, either to show prior research, or suggest further reading. These links would still need to include the full link, in order to direct users to the correct question, and thus would not benefit from a "shorthand" to the main site page.