Thank you for sharing your experience!

Meanwhile I have the OneNote 2016 Desktop app and the OneNote Store app on Windows 10 on an additional PC and I can confirm that it works as expected there.

Interestingly, all newer versions of OneNote mentioned above even show the link correctly and can open the correct target, although the link was pasted incompletely using an older version of OneNote.
And vice versa, the older versions of OneNote mentioned in the original post still cannot show the link correctly nor open the correct target, even if the link was pasted completely using a newer version of OneNote.

Edit hyperlink shows the identical link in the same notebook as complete in newer versions of OneNote and as incomplete in older versions of OneNote.