If `org-src-fontify-natively' is non-nil, contents of source blocks is
not shown verbatim. In this particular case, contents are displayed as
in an Org buffer, which means links are partly invisible.
Thanks. That makes sense. It's almost as if fontification should be separated from overlay application (or whichever technique is used to make the links invisible).
But with how the things are, looks like example blocks is the way to go to prevent the link hiding in Org snippets.