Currently there is no good way to embed external links to messages. There are two bad ways:
key1: "Please see $1"
key2: "your new messages"
Cons: lego, needs message documentation, can lead to mix of languages if only one is translated, translators might not read the documentation.
key1 "Please see <span class="plainlinks">[$1 your new messages]</span>"
Cons: lots of extra markup that translator can get wrong, needs the user full parser instead of just transforming.
What we need is some kind of light parser, that would take input like
key1: "Please see [$1 your userpage]
where $1 could be something like Linker::link( $target, '$1-linktext' );
And convert it to Please see <a ...>your user page</a>. Obviously the link itself should be outputted raw into the message while the link text and the rest of the message is escaped suitably. This should work for wfMessage()'s escaped, parse and parseAsBlock outputs, maybe text as well.