If this stuff (typography, punctuation, etc.) interests you, definitely check out Butterick’s Practical Typography [1]. Great resource and easy to follow.
> Cross-references, denoted with small caps, are clickable.
> Links to outside material are denoted with a red circle, like so.
Hyperlinks are almost universally distinguished by underlining them. There is no rational reason to invent a new design language and expect people to learn it. And for what benefit? The seemingly random capitalisation of words and weird circles in the middle of the text makes it much more jarring than simple underlining.
All the more reason not to have jarring capitalisation and weird circles.