May I clarify a little? If a link comes, we click on it, then we see that we are required to enter our password from the forum again, isn't this a signal for attention?
That's exactly what it is. If you are reading your PMs, that means you are already logged in to your account. If you are logged in, you don't need to log in again just to view another page of the forum unless you didn't tick the
stay logged in forever box and you got logged out account automatically after 60 mins or whatever you entered in that field.
Also, if you were to hover over that link in PM, the color of it should be blue since it is redirecting to a off-forum site. Forum posts are highlighted in green.