In #4042 we have made it so that external links in the dashboard are indicated with an icon to the end of the link:

I think that it would benefit all to have a consistent way to do this (say by adding an external class to links), and to allow people to theme it easily.
Noting that there are many places in core where we have external links in place, like help text, status/error/warning messages, the site status page etc.
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