You probably found out already, that you can change the colour of internal links, but there is a statement in that description in the user manual that pertains to your query:
Color internal links
Enables internal link colouring. Hyperlinks to URLs will always be coloured in blue, as is the standard. You can select a different colour for internal cross-reference style links to set them apart. Click the colour chip to select a colour.
(Emphasis added.)
That’s is how the Mac PDF generator decorates links. The internal links are different because that’s a whole system built by hand on top of the stock PDF generator, and therefore we have control over how they look.