In a web browser, it is common for a hyperlink to at least turn red when it has received a mouse down event and not yet received a mouse up event.
This provides useful feedback that it has, in fact, received the mouse down.
However, the hyperlinks in the output window do not give any visual feedback that they have received a mouse down.

I think they ought to, at least, change color while the mouse is down. 

Probably, the highlight showing the "current error" should move to the error in question, as well.