In a discussion on Mediawiki recently, I wanted to ping PNorman. When I added his handle, it was red, leading me to believe that he would not get my ping. So I emailed him.
Later he told me that he did get my ping, even though he does not have a user page on Mediawiki. This points to a problem in the way we're representing mentions: that the link is red gives a wrong impression to users, I think. I can't imagine I am alone in assuming that a redlinked mention is a failed mention.
I'm not sure what the best solution is. To me, the idea of clicking through to a user page is, in this instance, secondary to the purpose of telling the user that yes, that's the right username and the message will be sent. Since it looks like we are able to determine that the username is legit, and that a mention will be sent, so I'd opt for blue-linking it. Maybe others will have a better idea. Maybe these links should be green or some other color, to signify "good to go" without signifying that a link is available.
(I realize I could get notifications for mentions, but don't want to or feel the need to get a notification every time I make a mention.)