I've been in conversation with Instructure support, they notified me the issue was fixed and asked me to check. I've also seen issues with this working across the board, but for me the issue appears to be mainly between docs or PDFs uploaded to the Syllabus page vs Modules, rather than with PDFs universally. Anything linked from the Syllabus page, the links in the doc/PDF don't work, anything linked from Modules, the links in the doc/PDF do seem to work, even if it's the same file in both cases (this is all newly uploaded files, FYI, since they told me existing files might not always work but new files should). So long story short I have been able to get PDFs to work.
This is the explanation they gave me, somewhat similar to yours: "Our engineering team had some further conversations regarding this behavior and discussed what they believe is the intended behavior vs reasons we may not want to launch links from documents, primarily for security. "