Can you please explain why you want this?

Because the current behaviour is confusing:

If I open the page of an item which already has a Dewey classification (e.g. [[d:x]]), I see a link, but if I go to an item which doesn't, and add it, there is no link and the natural thinking is that I provided the wrong value and should have added a [http:... link] (and this is not the case).

E.g. I just went to [[d:x]], clicked on "add", filled the "property" field with "P1036" and added the value "513.5" and saved. The result was a simple text instead of a link pointing to
http://dewey.info/class/513.5/about

If Wikidata fired a hook when the saving process is finished, the gadget could use that to bind the event which converts a text to a link, and display it to the user right after the new value is saved.

Providing a hook for this does have the potential to make the current performance issues much worse. I suggest to keep this report open as a feature-request but downgrade it and talk about possible solutions a lot later.

From what I remember, what is slow is to view the items. Saving (or cancelling the save) is fast.

I've been thinking about this and I think the better approach is to properly integrate the feature the authority control gadget provides into Wikibase. I need to think more about the best way to do this.

Where is that integration being tracked?