It doesn't seem to do it for all links, but most of them do. Follow the following steps to find out definatively if it's working or not, as it should work for this link:
1. Go to
www.google.com/about.html
2. Go to
www.google.com
3. The 'About Google' link at the bottom of the page should be coloured purple
If this doesn't work, I'm not sure what the problem is. If it's really bothering you you could try deleting/moving various Safari files from your Library. ~/Library/Preferences/com.apple.internetconfig.plist looks as though it could be a possible source. You could also try running Safari from a different user account to see if the problem is isolated to your Library folder. Also try other browsers, I've tried 10 and they all have this feature.