Since software generating the link can pretty easily check whether or not they exist,

With which name? The title would be localised as well.

I can think of two ways:

1. The English name is always usable in any localization. If it is used for the help page reference, installations can choose to make those a redirect.
2. The localized name is known to the Special:Version code as well, thus it can be used to refer to the help page.

Of course, they can be combined, if one does not exist locally,
choose the other, else link externally.

I say just point to the en docs, just like we point straight to mediawiki.org, etc.

Has this been fixed recently?

https://www.mediawiki.org/wiki/Special:Version and the equivalent page in other Wikimedia feature headers with links to

https://www.mediawiki.org/wiki/Special:MyLanguage/Manual:Tag_extensions
https://www.mediawiki.org/wiki/Special:MyLanguage/Manual:Parser_functions

However, 1.22.1 sites like e.g. https://meta.orain.org/wiki/Special:Version still show these headers in a table without links.

(In reply to comment #4)

Has this been fixed recently?

Not really, because the two main manuals only include the default-ish tags, not all the possible ones. Finding a link for each tag as suggested in comment 0 is probably overkill, therefore to reach the same goal we should link help pages for each extension I guess, à la bug 43591.