I think you made a point that you would know to click because you know it's an HTML/hypertext doc. In that context I do think end-user knowledge of what's going on under the hood does factor in to design decisions. Especially in a case like this where the push seems to be to land nearer to an analog with print, where things are definitely not clickable.
I think it's kinda reasonable to say, given a reader that doesn't know these things, and presenting them something that looks like a printed book, some may just glance to the bottom of the screen; and, finding nothing there, just think something's wrong. I don't know whether that's a significant segment of readers, but it's what's meant to be avoided entirely by using common visual language like underlines.
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