No, it's not about engagement.
This is about the danger of someone sending you to an Evernote page (a public or shared note), and then placing a link that makes it seem like you're still inside Evernote but actually takes you outside. For instance, a link that takes you to a fake Evernote login page where you might enter your username and password which they will then steal.
But you're right that if you're within your own private note, there's probably no good reason to protect links this way.
... But this would require someone:
Handling these different scenarios separately.
Caring about improving basic UX instead of adding new features nobody asked for.
Meanwhile, here we are in a Forum where the only people not ignoring our requests are these Evernote Forum stans that tell you you're wrong because they don't care about the same things you do, and that act as if people expressing their personal frustrations somehow threaten their own sense of identity. So, the only thing I can say to all this: hope you have happy holidays and a nice start of the year.