Disabled entries don't show up in the Linked entries field when displayed in the CP entry list
Yeah, I agree it's a bit awkward UI-wise in this scenario, but that's currently expected behavior.

You'd probably be able to pull off what you're looking for with a custom plugin by listening to the getEntryTableAttributeHtml hook, though.

In there, you'd check if the passed in attribute is the one for your entries field type, grab the current status and modify the HTML that gets returned based on the status.