If there is a link to an non-existent article or page it shows up in red when viewing a page. When you click to edit with VisualEditor, the redlink shows up as blue which makes it appear that it is linking to a page that has already been created.
For example, in my sandbox I created a link to the non-existent page "testinggg" using [[testinggg]] in source. After saving the page I returned to the sandbox and saw the link in red. I clicked to edit the page with VisualEditor, and the link turned blue. It should remain red if the page has not yet been created. You can try this for yourself in my sandbox:
https://en.wikipedia.org/wiki/User:Keegan_(WMF)/Sandbox
This may be a Parsoid issue?
Version: unspecified
Severity: normal