Some varieties of in-code documentation do support links, e.g. XmlDoc which is the de facto standard for documenting C# code (and therefore the most relevant to my comments about MSDN because I was referring specifially to the .NET API documentation) has multiple ways of embedding links in your in-code documentation comments: https://learn.microsoft.com/en-us/dotnet/csharp/language-ref...
MSDN even uses those, a lot. But not enough. I wish that every time they had a "Foo(string parameter) - uses the default FooOptions" it was a link to the documentation section where the default FooOptions are listed. But usually you're left to find the default FooOptions yourself, which means 5-10 minutes of digging through docs (1-2 minutes if you're lucky) that I could have spent writing or reviewing code instead. That adds up.