The link class re purposes a page's slug to be a link. In general slugs can be left blank and be auto generated from the title of a page, but in the case of a link it's entire purpose is to be a link so the slug cannot be left blank. I would say it's a minor bug that the help text isn't changed in the case of the link.
There has been some discussion in the past around modifying the way links work and not reusing the slug field since it has some limitations (uniqueness for example).
What is your use case that you would want the link auto-generated?