I didn't get any errors, but I have noticed more than nomal levels of instances where I have gotten kicked out of the site...

I suspect that there will be a lot of places like this that can be optimized in the code.  Once the basic use case is fullfilled then we can go back in future DNN versions and look at how this can be improved to perform intelligent lookups for links before they are rendered, at which point we could then render the link with the correct protocol.  I suspect that this is not a trivial task since it will require changing a link from relative to absolute at the time the link is rendered.  This change will require us to look at the portal and page settings to determine whether SSL is enabled for a given link.  This necessarily will require us to carefully consider the performance implications of the extra lookups to calculate the correct.  Personally I do not want to create a ton of "special cases" in the code and would rather we spent some time to figure out how to deal with this use case across the board.  This extra effort was beyond the scope of the change for this release.