It's not a bug, since it's honouring the "Instruct search engines not to follow posted links?" but I'd like to expand that setting in a future version with a whitelist of domains to override it, which you could add CDN URLs and other such domains to.
We have a separate thing added recently to redirect http to https if necessary which accommodates for this. The "Insert Link" dialog doesn't care whether or not you provide a URL to the community or not and doesn't do anything special for community URLs. We expect you to paste a URL in there to be honest, but if you type one, it sticks "http://" in front if necessary which is pretty standard. In other words: it's intentional, but we have code elsewhere to make what you're describing not a problem.