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Some links are "obvious", like entries in an inline TOC, or footnotes: I'd expect those to be links and "click" on them (if I wanted to follow the link), underline or not. Others could be explained in an "about this ebook" section, or left as a kind easter-egg for the inquisitive user; if someone cannot be bothered to read the instructions, well, bad luck for him, he can still read the text normally, nothing is lost.
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