I think it won't harm to have links to globaluserpages marked with some CSS-class or in other fashion so though they look like normal "blue" links, users who will want to distinguish them from links to local userpages would be able to do it.
IMHO It's like links to disambiguations or redirects—most don't care where the link goes but there are a few who do care. For me personally in this case it'd be kinda indicator of whether the page is worth looking at. If I work in a wiki and see contribution by a user it's good to know from a first glance whether it's some red-paged noob, some random "global" guy with globaluserpage or it's a contributor who is experienced enough and cares enough to create a local userpage on which he might have provided some info about how he can be helpful in that wiki or whatever else wiki specific thing. Such a class or whatever marking would save some time which otherwise would be spent on opening the page and seeing the footer.
As the task description suggest I am also for a CSS-class added to links, so each user or wiki can create their own styling if they want.
It doesn't have to have a associated style by default as the Extension can be used by various wikis with each a different environment.
+1 to this usecase in wikipedia.