I edited a tag wiki in the site I moderate, and I noticed that while the links are converted to question titles in the preview, this doesn't happen in the tag wiki.
Compare the previous screenshot with the following one.
Is this intentional, a bug, or a problem with my browser (Google Chrome 70.0.3538.77 running on openSUSE Tumbleweed)?
To answer the title of your question: one would think so, since it has been so for quite some time. However, that doesn't seem to be the case anymore for tag wikis.
And until such automatic conversion is in place again, you may want to give it a try to see what happens, if you apply an extra edit similar to what I did to another tag wiki (on the same site as where you ran into this issue), i.e. the Drush tag. In that case, as shown in the revision history, I had to change all occurences of http to https, after doing so it all converted nicely again.
PS: if you wonder why those http occurences are still there, then refer to "http://meta.stackexchange.com/q/300235/286501" (question title not automagically converted here either after saving it, I intentionally used http ... though "Convert http links to https in tag wikis" with https it gets converted). You see, it is not only tag wikis this happens, also in this actual post. I think (not 100% sure yet ...) it implies that no https equals no automatic question title conversion after saving (even though in preview mode the title is converted!).
