Why preview.app refuse to open local link in PDFs
I would not expect preview to allow this as a result of conscious design decision by Apple. This is in essence how one design decision of OS X was made different from Windows. One allows core programs that ship with the OS to do all sorts of things and the other attempts to embed security by controlling cross-program interactions.

If Preview.app could open arbitrary, document-specified files (or worse have Finder execute that action on behalf of the user), it opens the door for all sorts of security risks.

Apple's restrictions on permissions is based in part on the difference between local files (being more trusted, and perhaps operating with elevated system privileges) and files from the internet (which are quarantined, subject to less permissions to run locally). 

You could file a bug report with Apple to ask how to accomplish a link, but my guess is that this is how preview was designed and not some oversight or bug that prevents this from working on the current build of OS X.