Tests have shown that, with the exception of page references (but this may be due to the PDF), all embedded links contained in the PDF can still be used after the download.
You are welcome to test this again directly in your app using a PDF you have created. To do this, carry out the following steps:
1. Create a PDF with embedded links
2. Create a showcase publication with PDF download
3. Import PDF as output
4. Create a preview app and download the previously imported output
5. Check page references and embedded links