Thanks for narrowing this down, that helps.
Which preview breaks: It’s the inline preview tied to the Preview / Markdown toggle at the top of the editor tab (the mode where the preview replaces or sits inline in the same tab as changelog.md). In that mode, the line renders as raw ([#3997](https://github.com/.../pull/3997)) instead of a link.
What works: Open Preview to the Side (Cmd+K then V / dedicated Preview changelog.md tab) renders the same line correctly, the #3997 part shows as a clickable blue link.