The reason why it works has nothing to do with Unity.
To see what I mean, load up your Blender file that contains links to other files.
Now export that file as FBX.
Now open the FBX in your favorite editor, or in Unity.
Note how the FBX now has fresh copies (NOT LINKS!) of the linked objects.
So just beware that this “baking” of the linked objects occurs at import time, which with Unity, is a bit blurry: when Unity imports a .blend file, the first thing it does is tell Blender to EXPORT the .blend file to FBX, then Unity imports the FBX.
To see what I mean, do the import and then go change the linked file geometry internally.
Note: the imported .blend that links to this file does not change.
Now reimport the .blend file with links and note that the changes in the linked file are now “baked” into the new import.
Now reimport the FBX you hand-exported earlier. Note how nothing changes regards the changed sub-linked object, as the FBX has a copy, not a reference.
Be careful.
While we’re at it, to demystify this whole process a bit more, here is some additional data:
Unity imports Blender3D objects as FBX via a little Python script:
https://discussions.unity.com/t/832303/2
The Python script that Unity uses (substitute your Unity version number or search) to import:
./Hub/Editor/2020.2.1f1/Unity.app/Contents/Tools/Unity-BlenderToFBX.py
More on fixing it:
https://discussions.unity.com/t/839045/4
Blender3D objects used as trees / detail in Unity3D terrain (See the second half of this response)