It seems like the engine completely breaks all links that use a URI with a scheme other than 'http' or 'https'.
Web != Internet, guys! ;)
For example, the
market scheme links to the Android market:
market://details?id=com.google.zxing.client.android (<-- if it worked, you'd see a link here)
I can also think of a number of relevant schemes for the Gaming SE, e.g. the
steam://store/400/ (<-- if it worked, you'd see a link here)
And various smaller ones which are specific to certain games to install mods, add-ons, etc.
And here's a real life example: Android SE: Is there a good app for monitoring the amount of data traffic? If this link wasn't broken, I could just click it and my phone would start installing the app or show the search results.