This is a usability item with the Rich Text Editor.

Our users create links by clicking on the Insert/Edit Link button, and pasting a URL (usually from another window) into the Link field. Sometimes they enter an Alias and sometimes not. Most of the time the URL points to another page in the same Confluence Space, but since they never look at the wiki markup they do not understand the difference between an internal and an external link. Then later the target page gets renamed, but Confluence does not update the link because it was created as an external link, not an internal link.

The Rich Text Editor should recognize links which start with the Server Base URL and automatically convert them to internal links.