I tried to make an internal link to a note in the notes window by control-clicking the highlighted text, choosing Scrivener Link, then New Link. Doing so created a crash, although the option was available. This was in the notes window reach by clicking the toolbar notes button.
Yes, that does seem to be a bug with the Project Notes window. It looks like you can make your link from the inspector sidebar though. If you haven’t loaded notes from there before, just open the Inspector with the blue ‘i’ button on the right, click the first tab that looks like a notebook if necessary, then in the lower half, click on the header to switch from “Document Notes” to “Project Notes” (or use Cmd-6).