Multisite system messages: change domain in {{ link }}, other than primary domain
This is currently expected behavior due to this bit of code, which explicitly passes in the primary site ID when generating those link URLs for a user:

https://github.com/craftcms/cms/blob/develop/src/services/Users.php#L1079-L1081

The reasoning is that even on a multi-site setup, users are all "global" (i.e. not defined per site).

If you feel this is a bug or produces undesired behavior, feel free to create an issue where it can be further discussed.