Executive summary:
When you put a url into a web browser, it inserts the "http://" prefix if it's not already there (and there isn't some other protocol prefix like "file://" or "ftp://")

When you embed a link in a web page, the absence of a protocol prefix (the "http://" bit) is taken as a shorthand for "on this site", and since most sites have many local links this is a very useful shorthand.

Mudcat's software does nothing special with links, it just puts in exactly what you typed. You have to follow the usual rule for a link in a web page. Anyone who's ever written any HTML knows this and is used to it.