I'm not sure I follow.

Is it therefore a broken link?

Or is it that transparent redirects were set up so the forum zone could show content from where the content natively is (like setting up forum:downloads --> site:downloads, for example), and Composr chose to generate a link under forum:downloads?

I think you mean the latter. I tested, and with no transparent redirect it went to the default zone, and with one it went to the forum zone.
I think that's probably what I'd expect as a webmaster, but really we haven't defined the behavior with any intentionality either way here. The link is written out into the comment topic as a URL (so it won't be flexible once it's populated) and we either need to make a call or let what is going to happen by default happen.

I mean that the actual content in the comment topic opens in the forum zone, rather than where it is actually located, which is not default (afaik). I will recheck the redirects but pretty sure there was none to cause this.