I know I've comment-vomited all over this thread, but I just want to comment once more so that OP gets it:
The best form is /u/user@their_instance. This creates an instance agnostic link of the form https://your_instance/u/user@their_instance, eg /u/[email protected], which you will see as https://feddit.nl/u/[email protected]. This keeps the viewer in the instance they're logged into, so they can actually interact eg send a message.
Typing @user@their_instance on its own doesn't create a link. If you start typing @user then you'll get a dropdown box, however when you select that it creates a direct link in the form https://their_instance/u/user, which takes you to their instance, which you might not be logged into.