That’s odd, as it’s been working fine here… At the OS X Mail level, a message link is to a specific Message ID, which should bring the message up regardless of where it’s actually located, as individual folders are irrelevant in this case. OF is simply using the standard linking, with the new Clip-o-Tron adding a little bit of extra formatting so that they work properly on iOS devices as well (in this case, it looks like it’s just three slashes after the message: prefix, which sadly OS X doesn’t otherwise add if you copy the link in some other manner).
Note that the message does have to have been synced/downloaded to your computer or iOS device for this to work – a common problem on the iOS side at least is that if you move a message to another folder on a different device, it will disappear from the inbox, but won’t appear in the other folder until you manually open it. This can sometimes result in message links being “broken” until the message reappears on the iOS side. I think this is less of a problem on a Mac as OS X Mail downloads/syncs all folders by default, regardless of whether you open them or not.