When rendering an EntityIdValue, we currently only output the target entity's label. We should instead create a local interwiki link using the appropriate label along with the local page connected to the target item, if there is any.
If there's no page connected, just return the (wikitext escaped) label.
This will be fixed in the new {{#statement:…}} parser function, but not in the current {{#property:…}} one as many consumers rely on the current behavior.
As @hoo said in T99897#2551956 we decided to not change the existing functionality, but add new. This is tracked in T142940: Create client functionality for getting human readable wikitext from Wikibase statements and the subtask T142941: Create a {{#statements:…}} parser function for human readable access to statements.