Users aren't able to open a media link by clicking the link, when the media link is to a local file. They get Error: The file could not be opened. If the phath refers to a local file or a file on a server share, your web browser may be blocking access to the file.
We have no current plans to address this issue, and we would suggest a best practice of linking to media files from network locations. Linking to files locally on your computer is not ideal, as other users would be unable to access these media links.